The asymptotic error of chaos expansion approximations for stochastic differential equations

DOI10.15559/19-VMSTA133MaRDI QIDQ2326537zbMATH OpenOpenAlexWikidataFDO

Authors Tony Huschto, Mark Podolskij, Sebastian Sager

Publication date 8 October 2019

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1906.01209

zbMATH Keywords

Malliavin calculusnumerical approximationstochastic differential equationschaos expansion

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: In this paper we present a numerical scheme for stochastic differential equations based upon the Wiener chaos expansion. The approximation of a square integrable stochastic differential equation is obtained by cutting off the infinite chaos expansion in chaos order and in number of basis elements. We derive an explicit upper bound for the $L^2$ approximation error associated with our method. The proofs are based upon an application of Malliavin calculus.

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Cited in

(8)

• Numerical methods for hyperbolic SPDEs: a Wiener chaos approach
• Sharp Error Estimates on a Stochastic Structure-Preserving Scheme in Computing Effective Diffusivity of 3D Chaotic Flows
• Mini-workshop: Nonlinear approximation of high-dimensional functions in scientific computing. Abstracts from the mini-workshop held October 15--20, 2023
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