An asymptotic radius of convergence for the Loewner equation and simulation of SLE_ traces via splitting

DOI10.1007/S10955-022-02979-3MaRDI QIDQ2675347zbMATH OpenOpenAlexWikidataFDO

Authors Yanyan Li

Publication date 23 September 2022

Published in Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10955-022-02979-3

zbMATH Keywords

numerical methods and simulationsrough path theorySchramm-Loewner evolutions

Mathematics Subject Classification ID

Stochastic (Schramm-)Loewner evolution (SLE) (60J67) Applications of rough analysis (60L90) Numerical solutions to stochastic differential and integral equations (65C30) Probabilistic methods, stochastic differential equations (65C99)

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Cites work

• An optimal polynomial approximation of Brownian motion
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• Differential equations driven by rough signals
• Differential Equations Driven byΠ-Rough Paths
• scientific article; zbMATH DE number 2172004 (Why is no real title available?)
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• Ninomiya-Victoir scheme : Multilevel Monte Carlo estimators and discretization of the involved Ordinary Differential Equations
• Numerical computations for the Schramm-Loewner evolution
• On the continuity of \(\text{SLE}_{\kappa}\) in \(\kappa\)
• On the existence of SLE trace: finite energy drivers and non-constant \(\kappa \)
• ON THE REGULARITY OF SLE TRACE
• Regularity of Schramm-Loewner evolutions, annular crossings, and rough path theory
• Remarks on Loewner chains driven by finite variation functions
• Scaling limits of loop-erased random walks and uniform spanning trees
• Uniform factorial decay estimates for controlled differential equations
• Uniqueness of signature for simple curves
• Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations
• Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing

Cited in

(2)

• High Order Splitting Methods for SDEs Satisfying a Commutativity Condition
• Rate of convergence in multiple SLE using random matrix theory

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