Asymptotically optimal approximation of some stochastic integrals and its applications to the strong second-order methods

DOI10.1007/S10444-018-9638-0MaRDI QIDQ2000498zbMATHOpenAlexWikidataFDO

Authors Xiao Tang, Aiguo Xiao

Publication date 28 June 2019

Published in Advances in Computational Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10444-018-9638-0

zbMATH Keywords

stochastic integralsasymptotically optimal approximationstrong second-order methods

Mathematics Subject Classification ID

Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Recommendations

• Strong approximations of stochastic integro-differential equations
• Strongly asymptotically optimal schemes for the strong approximation of stochastic differential equations with respect to the supremum error
• On the optimal approximation rate of certain stochastic integrals
• Approximation for the solutions of stochastic differential equations: ii strong convergence
• Second-order weak approximations for Stratonovich stochastic differential equations
• Strong and weak approximation methods for stochastic differential equations -- some recent developments
• Approximation of Multiple Stochastic Integrals and Its Application to Stochastic Differential Equations
• Strong approximation of vector-valued stochastic integrals
• Convergence asymptotics of discrete-stochastic numerical methods for global estimation of a solution to an integral equation of the second kind

Cites work

• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 1099342 (Why is no real title available?)
• scientific article; zbMATH DE number 2114382 (Why is no real title available?)
• scientific article; zbMATH DE number 785439 (Why is no real title available?)
• scientific article; zbMATH DE number 2232118 (Why is no real title available?)
• A Runge-Kutta type scheme for nonlinear stochastic partial differential equations with multiplicative trace class noise
• A mathematical model and numerical method for studying platelet adhesion and aggregation during blood clotting
• Adams-type methods for the numerical solution of stochastic ordinary differential equations
• An algorithmic introduction to numerical simulation of stochastic differential equations
• B–Series Analysis of Stochastic Runge–Kutta Methods That Use an Iterative Scheme to Compute Their Internal Stage Values
• Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise
• Convergence rate of weak local linearization schemes for stochastic differential equations with additive noise
• Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
• Diffusions for Global Optimization
• Efficient weak second-order stochastic Runge-Kutta methods for Itô stochastic differential equations
• Gaussian Hilbert Spaces
• General order conditions for stochastic Runge-Kutta methods for both commuting and non-commuting stochastic ordinary differential equation systems
• High order local linearization methods: an approach for constructing A-stable explicit schemes for stochastic differential equations with additive noise
• High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
• High strong order stochastic Runge-Kutta methods for Stratonovich stochastic differential equations with scalar noise
• Implicit Milstein method for stochastic differential equations via the Wong-Zakai approximation
• Improved linear multi-step methods for stochastic ordinary differential equations
• Mean square convergence of stochastic \(\theta\)-methods for nonlinear neutral stochastic differential delay equations
• Multistep methods for SDEs and their application to problems with small noise
• Numerical methods for strong solutions of stochastic differential equations: an overview
• On mean-square stability of two-step Maruyama methods for nonlinear neutral stochastic delay differential equations
• Optimal Approximation of the Second Iterated Integral of Brownian Motion
• Order conditions of stochastic Runge--Kutta methods by B-series
• Preservation of quadratic invariants of stochastic differential equations via Runge-Kutta methods
• Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations
• Rooted tree analysis of the order conditions of row-type scheme for stochastic differential equations
• Runge-Kutta methods for third order weak approximation of SDEs with multidimensional additive noise
• Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations
• Second order Runge-Kutta methods for Itô stochastic differential equations
• Simulations of two-step Maruyama methods for nonlinear stochastic delay differential equations
• Stochastic symplectic Runge-Kutta methods for the strong approximation of Hamiltonian systems with additive noise
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• The truncated Euler-Maruyama method for stochastic differential equations
• Weak second-order stochastic Runge-Kutta methods for non-commutative stochastic differential equations

Cited in

(15)

• A new proof of the expansion of iterated Itô stochastic integrals with respect to the components of a multidimensional Wiener process based on generalized multiple Fourier series and Hermite polynomials
• Mean-square approximation of iterated Ito and Stratonovich stochastic integrals: method of generalized multiple Fourier series. Application to numerical integration of Ito SDEs and semilinear SPDEs
• scientific article; zbMATH DE number 7627965 (Why is no real title available?)
• An efficient approximation method for stochastic differential equations by means of the exponential Lie series
• Application of the Method of Approximation of Iterated Ito Stochastic Integrals Based on Generalized Multiple Fourier Series to the High-Order Strong Numerical Methods for Non-Commutative Semilinear Stochastic Partial Differential Equations
• Efficient strong integrators for linear stochastic systems
• 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
• Optimal approximation of stochastic integrals with respect to a homogeneous Poisson process
• An optimal polynomial approximation of Brownian motion
• scientific article; zbMATH DE number 7644507 (Why is no real title available?)
• The proof of convergence with probability 1 in the method of expansion of iterated Ito stochastic integrals based on generalized multiple Fourier series
• scientific article; zbMATH DE number 7318972 (Why is no real title available?)
• Optimal Approximation of the Second Iterated Integral of Brownian Motion
• Mean-square approximation of iterated Ito and Stratonovich stochastic integrals: method of generalized multiple Fourier series. Application to numerical integration of Ito SDEs and semilinear SPDEs
• A new approach to the series expansion of iterated Stratonovich stochastic integrals with respect to components of a multidimensional Wiener process. The case of arbitrary complete orthonormal systems in Hilbert space

This page was built for publication: Asymptotically optimal approximation of some stochastic integrals and its applications to the strong second-order methods

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2000498)