Numerical approximation of diffusions in R^d using normal charts of a Riemannian manifold

DOI10.1016/J.SPA.2006.02.004MaRDI QIDQ2507672zbMATH OpenOpenAlexWikidataFDO

Authors Paul Malliavin, Ana Bela Cruzeiro

Publication date 5 October 2006

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

Full work available at URL https://doi.org/10.1016/j.spa.2006.02.004

zbMATH Keywords

Milstein numerical schemesnumerical approximation of stochastic differential equationsstochastic differential equations on manifolds

Mathematics Subject Classification ID

Diffusion processes and stochastic analysis on manifolds (58J65)

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Cites work

• Approximation of Lyapunov Exponents of Nonlinear 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
• Monte-Carlo simulation of stochastic differential systems - a geometrical approach
• Numerical error for SDE: Asymptotic expansion and hyperdistributions
• Renormalized differential geometry on path space: Structural equation, curvature
• Statistical Romberg extrapolation: a new variance reduction method and applications to option pricing
• Stochastic analysis on the path space of a Riemannian manifold. I: Markovian stochastic calculus

Cited in

(5)

• 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
• 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
• Discrete Laplacians on the hyperbolic space -- a comparative study

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