On the pathwise approximation of stochastic differential equations

DOI10.1007/S10543-015-0597-2MaRDI QIDQ329029zbMATH OpenOpenAlexFDO

Authors Tony Shardlow, Phillip Taylor

Publication date 21 October 2016

Published in BIT (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1409.2362, http://opus.bath.ac.uk/48242/1/R29.pdf

zbMATH Keywords

error boundEuler-Maruyama methodIto stochastic differential equationsnumerical resultrough path theory

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Error bounds for numerical methods for ordinary differential equations (65L70)

Abstract: We consider one-step methods for integrating stochastic differential equations and prove pathwise convergence using ideas from rough path theory. In contrast to alternative theories of pathwise convergence, no knowledge is required of convergence in pth mean and the analysis starts from a pathwise bound on the sum of the truncation errors. We show how the theory is applied to the Euler-Maruyama method with fixed and adaptive time-stepping strategies. The assumption on the truncation errors suggests an error-control strategy and we implement this as an adaptive time-stepping Euler-Maruyama method using bounded diffusions. We prove the adaptive method converges and show some computational experiments.

Review text

Non-traditional assumptions are identified and used to prove pathwise convergence when numerically approximating the solution of \(d\)-dimensional Ito stochastic differential equations. These assumptions are verified to prove convergence of the fixed time-stepping and two new adaptive time-stepping versions of the Euler-Maruyama method. Tighter error bounds are established for the two adaptive versions that facilitate error control when these methods are implemented. For some examples numerical results are presented that indicate that the adaptive methods can yield smaller error with less variation but the required sampling of bounded diffusion may make them more expensive.

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Cites work

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Cited in

(28)

• Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients
• Razumikhin-type technique on stability of exact and numerical solutions for the nonlinear stochastic pantograph differential equations
• Stochastic functional differential equations and sensitivity to their initial path
• Symplectic Runge-Kutta methods for Hamiltonian systems driven by Gaussian rough paths
• The optimal uniform approximation of systems of stochastic differential equations
• Step size control for the uniform approximation of systems of stochastic differential equations with additive noise.
• Approximation of SDEs: a stochastic sewing approach
• Pathwise convergence under Knightian uncertainty
• Stability of numerical solutions for the stochastic pantograph differential equations with variable step size
• Rough path recursions and diffusion approximations
• Sample path approximation for a class of stochastic systems
• The pathwise convergence of approximation schemes for stochastic differential equations
• Rough paths based numerical algorithms in computational finance
• Adaptive weak approximation of stochastic differential equations
• Error Estimations for the Euler-Maruyama Approximate Solutions of Stochastic Differential Equations
• The Stochastic Differential Equation Approach to Analysis on Path Space
• Path-Dependent SDEs in Hilbert Spaces
• Efficient discretisation of stochastic differential equations
• The partially truncated Euler-Maruyama method and its stability and boundedness
• A path-integral approximation for non-linear diffusions
• -strong simulation for multidimensional stochastic differential equations via rough path analysis
• Convergence Rates for Adaptive Weak Approximation of Stochastic Differential Equations
• Optimal extension to Sobolev rough paths
• A new algorithm for computing path integrals and weak approximation of SDEs inspired by large deviations and Malliavin calculus
• Strong convergence of an adaptive time-stepping Milstein method for SDEs with monotone coefficients
• Pathwise convergence of the Euler scheme for rough and stochastic differential equations
• Approximation of transition densities of stochastic differential equations by saddlepoint methods applied to small-time Ito-Taylor sample-path expansions
• Pathwise estimation of the stochastic functional Kolmogorov-type system

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