On the pathwise approximation of stochastic differential equations

DOI10.1007/S10543-015-0597-2zbMATH Open1354.65016arXiv1409.2362OpenAlexW1648537883MaRDI QIDQ329029FDOQ329029

Authors: Tony Shardlow, Phillip Taylor 

Publication date: 21 October 2016

Published in: BIT (Search for Journal in Brave)

Abstract: We consider one-step methods for integrating stochastic differential equations and prove pathwise convergence using ideas from rough path theory. In contrast to alternative theories of pathwise convergence, no knowledge is required of convergence in pth mean and the analysis starts from a pathwise bound on the sum of the truncation errors. We show how the theory is applied to the Euler-Maruyama method with fixed and adaptive time-stepping strategies. The assumption on the truncation errors suggests an error-control strategy and we implement this as an adaptive time-stepping Euler-Maruyama method using bounded diffusions. We prove the adaptive method converges and show some computational experiments.

Full work available at URL: https://arxiv.org/abs/1409.2362

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zbMATH Keywords

numerical resulterror boundrough path theoryEuler-Maruyama methodIto stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Error bounds for numerical methods for ordinary differential equations (65L70)

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Cited In (26)

• Rough path recursions and diffusion approximations
• Pathwise estimation of the stochastic functional Kolmogorov-type system
• Razumikhin-type technique on stability of exact and numerical solutions for the nonlinear stochastic pantograph differential equations
• Stochastic functional differential equations and sensitivity to their initial path
• A path-integral approximation for non-linear diffusions
• \(\varepsilon\)-strong simulation for multidimensional stochastic differential equations via rough path analysis
• Sample path approximation for a class of stochastic systems
• The optimal uniform approximation of systems of stochastic differential equations
• Step size control for the uniform approximation of systems of stochastic differential equations with additive noise.
• Approximation of SDEs: a stochastic sewing approach
• Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients
• Strong convergence of an adaptive time-stepping Milstein method for SDEs with monotone coefficients
• Adaptive weak approximation of stochastic differential equations
• Rough paths based numerical algorithms in computational finance
• Optimal extension to Sobolev rough paths
• Error Estimations for the Euler-Maruyama Approximate Solutions of Stochastic Differential Equations
• Symplectic Runge-Kutta methods for Hamiltonian systems driven by Gaussian rough paths
• The pathwise convergence of approximation schemes for stochastic differential equations
• A new algorithm for computing path integrals and weak approximation of SDEs inspired by large deviations and Malliavin calculus
• Convergence Rates for Adaptive Weak Approximation of Stochastic Differential Equations
• The Stochastic Differential Equation Approach to Analysis on Path Space
• Path-Dependent SDEs in Hilbert Spaces
• The partially truncated Euler-Maruyama method and its stability and boundedness
• Pathwise convergence under Knightian uncertainty
• Approximation of transition densities of stochastic differential equations by saddlepoint methods applied to small-time Ito-Taylor sample-path expansions
• Stability of numerical solutions for the stochastic pantograph differential equations with variable step size

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