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

DOI10.1016/J.MATCOM.2021.03.010OpenAlexW3138196709MaRDI QIDQ2664765FDOQ2664765

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

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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)

Cites Work

• Mersenne twister
• Mean field games
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• Monte Carlo simulation of nonlinear diffusion processes. II
• Semi-implicit Euler-Maruyama approximation for noncolliding particle systems
• Conversion of mersenne twister to double-precision floating-point numbers

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

Uses Software

• MersenneTwister

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