Monte-Carlo simulation of stochastic differential systems - a geometrical approach

DOI10.1016/J.SPA.2007.04.009MaRDI QIDQ2476884zbMATH OpenOpenAlexFDO

Authors Carlos J. S. Alves, Ana Bela Cruzeiro

Publication date 12 March 2008

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2007.04.009

zbMATH Keywords

diffusion equationsgeometric-numerical approachMilstein schemeMonte Carlo methodsnumerical approximationstochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)

Review text

From the authors' summary: We develop some numerical schemes for \(d\)-dimensional stochastic differential equations derived from Milstein approximations of diffusions which are obtained by lifting the solutions of the stochastic differential equations to higher dimensional spaces using geometrical tools, in the line of the work of \textit{A. B. Cruzeiro, P. Malliavin} and \textit{A. Thalmaier} [C. R., Math., Acad. Sci. Paris 338, No. 6, 481--486 (2004; Zbl 1046.65006)].

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Cites work

• A survey of numerical methods for stochastic differential equations
• Expansion of the global error for numerical schemes solving stochastic differential equations
• Geometrization of Monte-Carlo numerical analysis of an elliptic operator: Strong approximation
• scientific article; zbMATH DE number 3664138 (Why is no real title available?)
• scientific article; zbMATH DE number 3720745 (Why is no real title available?)
• Numerical error for SDE: Asymptotic expansion and hyperdistributions
• Probabilistic methods in applied physics
• The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function

Cited in

(8)

• Geometrization of Monte-Carlo numerical analysis of an elliptic operator: Strong approximation
• Numerical approximation of diffusions in \(\mathbb {R}^d\) using normal charts of a Riemannian manifold
• Geometric Euler-Maruyama schemes for stochastic differential equations in \(\mathrm{SO}(n)\) and \(\mathrm{SE}(n)\)
• HIGHER-ORDER RUNGE-KUTTA METHOD FOR ITÔ STOCHASTIC DIFFERENTIAL EQUATIONS WITH A NON-DEGENERATE DIFFUSION MATRIX
• Total variation bound for Milstein scheme without iterated integrals
• TWO-STEP ORDER STRONG METHOD FOR APPROXIMATING STOCHASTIC DIFFERENTIAL EQUATIONS
• Simulation of two-step order 2 implicit strong method for approximating Stratonovich stochastic differential equations
• Simulating elliptic diffusions and orthogonal invariance

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