Numerical methods for stochastic differential equations based on Gaussian mixture

DOI10.4310/CMS.2021.V19.N6.A5MaRDI QIDQ6311861zbMATH OpenWikidataFDO

Authors Lei Li, Jianfeng Lu, Jonathan C. Mattingly, Lihan Wang

Publication date 31 December 2018

Full work available at URL https://doi.org/10.4310/CMS.2021.V19.N6.A5

Abstract: We develop in this work a numerical method for stochastic differential equations (SDEs) with weak second order accuracy based on Gaussian mixture. Unlike the conventional higher order schemes for SDEs based on It^o-Taylor expansion and iterated It^o integrals, the proposed scheme approximates the probability measure $mu(X^{n+1}|X^n=x_n)$ by a mixture of Gaussians. The solution at next time step $X^{n+1}$ is then drawn from the Gaussian mixture with complexity linear in the dimension $d$. This provides a new general strategy to construct efficient high weak order numerical schemes for SDEs.

This page was built for publication: Numerical methods for stochastic differential equations based on Gaussian mixture

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6311861)