A symmetry-adapted numerical scheme for SDEs

DOI10.3934/JGM.2019018MaRDI QIDQ2296018zbMATH OpenOpenAlexFDO

Authors Francesco C. De Vecchi, Andrea Romano, Stefania Ugolini

Publication date 17 February 2020

Published in Journal of Geometric Mechanics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1704.04167

zbMATH Keywords

geometric numerical integrationLie symmetry analysisnumerical methods for stochastic differential equationssymmetries of stochastic differential equations

Mathematics Subject Classification ID

Group actions and symmetry properties (58D19) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Cited in

(7)

• Some recent developments on Lie symmetry analysis of stochastic differential equations
• Numerical simulations for stochastic differential equations on manifolds by stochastic symmetric projection method
• Weak symmetries of stochastic differential equations driven by semimartingales with jumps
• Symmetries of stochastic differential equations using Girsanov transformations
• Reduction and reconstruction of SDEs via Girsanov and quasi Doob symmetries
• A symmetry-adapted numerical scheme for SDEs
• Random rotational invariance of integration by parts formulas within a Bismut-type approach

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