An efficient weak Euler-Maruyama type approximation scheme of very high dimensional SDEs by orthogonal random variables

DOI10.1016/J.MATCOM.2021.03.010MaRDI QIDQ2664765zbMATH OpenOpenAlexFDO

Authors Jirô Akahori, Masahiro Kinuya, Takashi Sawai, Tomooki Yuasa

Publication date 18 November 2021

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2001.05640

zbMATH Keywords

Monte Carlo methodstochastic differential equations[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=It%EF%BF%BD%EF%BF%BD-Taylor+expansion&go=Go It��-Taylor expansion]Wagner-Platen expansionweak rate of convergenceEuler-Maruyama schemeshigh dimensional simulation

Mathematics Subject Classification ID

Probability theory and stochastic processes (60-XX) Numerical analysis (65-XX)

Recommendations

• Efficient approximation of SDEs driven by countably dimensional Wiener process and Poisson random measure
• An arbitrary high order weak approximation of SDE and Malliavin Monte Carlo: analysis of probability distribution functions
• A review of recent results on approximation of solutions of stochastic differential equations
• Short Communication: A Gaussian Kusuoka Approximation without Solving Random ODEs
• A higher order weak approximation scheme of multidimensional stochastic differential equations using Malliavin weights

Cites work

• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• Conversion of mersenne twister to double-precision floating-point numbers
• Cubature on Wiener space
• Cubature on Wiener space for McKean-Vlasov SDEs with smooth scalar interaction
• Deep backward schemes for high-dimensional nonlinear PDEs
• Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Mean field games
• Mersenne twister
• Monte Carlo simulation of nonlinear diffusion processes
• Monte Carlo simulation of nonlinear diffusion processes. II
• On the Walsh Functions
• Overcoming the order barrier in the numerical approximation of stochastic partial differential equations with additive space-time noise
• Rate of convergence of a particle method to the solution of the McKean-Vlasov equation
• Semi-implicit Euler-Maruyama approximation for noncolliding particle systems
• Solving high-dimensional partial differential equations using deep learning
• Some problems in the simulation of nonlinear diffusion processes
• The numerical approximation of stochastic partial differential equations
• Weak rate of convergence for an Euler scheme of nonlinear SDE’s

Cited in

(2)

• Higher-order error estimates of the discrete-time Clark-Ocone formula
• An efficient weak Euler-Maruyama type approximation scheme of very high dimensional SDEs by orthogonal random variables

Describes a project that uses

Uses Software

• MersenneTwister

This page was built for publication: An efficient weak Euler-Maruyama type approximation scheme of very high dimensional SDEs by orthogonal random variables

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2664765)