Numerical analysis of stochastic differential equations without tears
This article presents a compendium of definitions and results in the area of numerics for stochastic ordinary differential equations (SODEs). The list of references alone consists of 570 entries (somewhat irritating is that papers by the same author appearing in the same year do not get the usual a's and b's to distinguish between them). After the setting of the scene for SODEs and an introduction to Itô-Taylor expansions, a toolbox of numerical methods for approximating solutions of SODEs is provided. The remainder of the article can be roughly divided into three parts. The first part is concerned with, what the author calls ``the main principles of numerics, i.e. definitions of consistency, convergence etc. are given and several convergence results are stated. The second part deals with qualitative properties of the solutions of the SODEs and the solutions of various numerical methods. Theorems concerning, for example, stability or stationarity are given. The last part treats implementation issues, after presenting some interesting test cases. These issues range from pseudo-random number generation, via adaptive step-size strategies to variance reduction. Several comments concerning future developments conclude the article.NEWLINENEWLINEFor the entire collection see [Zbl 0979.00017].
- Numerical solution of SDE through computer experiments. Including floppy disk
- Numerical method for stationary distribution of stochastic differential equations with Markovian switching
- Mean-square stability of second-order Runge-Kutta methods for stochastic differential equations
- Almost sure asymptotic stability of drift-implicit -methods for bilinear ordinary stochastic differential equations in R^1
- Upper bounds on the rate of convergence of truncated stochastic infinite-dimensional differential systems with \(H\)-regular noise
- A selective overview of nonparametric methods in financial econometrics
- A modified Milstein scheme for approximation of stochastic delay differential equations with constant time lag
- Weak local linear discretizations for stochastic differential equations: convergence and numerical schemes
- Numerical simulation of nonlinear dynamical systems driven by commutative noise
- Rate of convergence of local linearization schemes for initial-value problems
- Mean-square stability properties of an adaptive time-stepping SDE solver
- A comparison of persistence-time estimation for discrete and continuous stochastic population models that include demographic and environmental variability
- Exponential stability in \(p\)-th mean of solutions, and of convergent Euler-type solutions, of stochastic delay differential equations
- Editorial. Foreword: Special issue on ``Stochastic differential equations, stochastic algorithms, and applications
- An algorithmic introduction to numerical simulation of stochastic differential equations
- Goodness-of-fit test for stochastic volatility models
- Delay-dependent stability analysis of numerical methods for stochastic delay differential equations
- The Bickel-Rosenblatt test for continuous time stochastic volatility models
- Convergence rate of weak local linearization schemes for stochastic differential equations with additive noise
- Accurate stationary densities with partitioned numerical methods for stochastic partial differential equations
- Applying spectral form of mathematical description for representation of iterated stochastic integrals
- SDE-MATH: a software package for the implementation of strong high-order numerical methods for Ito SDEs with multidimensional non-commutative noise based on multiple Fourier-Legendre series
- Locally linearized methods for the simulation of stochastic oscillators driven by random forces
- Balanced Milstein Methods for Ordinary SDEs
- Local Linear Approximations of Jump Diffusion Processes
- Undamped nonlinear beam excited by additive \(L^{2}\)-regular noise
- Numeric and dynamic B-stability, exact-monotone and asymptotic two-point behavior of theta methods for stochastic differential equations
- Analysis of noise-induced transitions for Hopf system with additive and multiplicative random disturbances
- A comparison of three different stochastic population models with regard to persistence time
- Exponential stability of equidistant Euler-Maruyama approximations of stochastic differential delay equations
- Existence and uniqueness of solutions of semilinear stochastic infinite-dimensional differential systems with H-regular noise
- Weak first- or second-order implicit Runge-Kutta methods for stochastic differential equations with a scalar Wiener process
- Mean-square stability of second-order Runge-Kutta methods for multi-dimensional linear stochastic differential systems
- A splitting-step algorithm for reflected stochastic differential equations in \(\mathbb R^1_+\)
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