The ordinary differential equation approach to asymptotically efficient schemes for solution of stochastic differential equations

MaRDI QIDQ1917686zbMATH OpenFDO

Authors Jessica Gaines, Fabienne Castell

Publication date 17 November 1996

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL http://www.numdam.org/item?id=AIHPB_1996__32_2_231_0, https://eudml.org/doc/77534

zbMATH Keywords

asymptotic efficiencymultidimensional Brownian pathnoncommutative Lie algebranumerical approximationstrong solutions of stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Direct numerical methods for linear systems and matrix inversion (65F05)

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Cited in

(24)

• A stochastic scheme of approximation for ordinary differential equations
• On explicit local solutions of Itô diffusions
• Product expansion for stochastic jump diffusions and its application to numerical approximation
• An efficient approximation method for stochastic differential equations by means of the exponential Lie series
• Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion
• Approximation of SDE solutions using local asymptotic expansions
• Numerical simulation of nonlinear dynamical systems driven by commutative noise
• Some derivative-free solvers for numerical solution of SODEs
• Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion
• On the stochastic Magnus expansion and its application to SPDEs
• Geometric Euler-Maruyama schemes for stochastic differential equations in \(\mathrm{SO}(n)\) and \(\mathrm{SE}(n)\)
• scientific article; zbMATH DE number 6834613 (Why is no real title available?)
• Perturbed linear rough differential equations
• A dynamically bi-orthogonal method for time-dependent stochastic partial differential equations. I: Derivation and algorithms
• Smooth random functions, random ODEs, and Gaussian processes
• An asymptotically efficient difference formula for solving stochastic differential equations
• On a Chen-Fliess approximation for diffusion functionals
• On Asymptotic Preserving Schemes for a Class of Stochastic Differential Equations in Averaging and Diffusion Approximation Regimes
• Efficient discretisation of stochastic differential equations
• An optimal polynomial approximation of Brownian motion
• Algebraic structures and stochastic differential equations driven by Lévy processes
• High Order Splitting Methods for SDEs Satisfying a Commutativity Condition
• Flows driven by multi-indices rough paths
• The order barrier for the L^1-approximation of the log-Heston SDE at a single point

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