Optimal approximation of SDEs on submanifolds: the Itô-vector and Itô-jet projections

DOI10.1112/PLMS.12226zbMATH Open1421.58008arXiv1610.03887OpenAlexW2964062866MaRDI QIDQ5229330FDOQ5229330

Authors: John Armstrong, Damiano Brigo, Emilio Rossi Ferrucci 

Publication date: 14 August 2019

Published in: Proceedings of the London Mathematical Society (Search for Journal in Brave)

Abstract: We define two new notions of projection of a stochastic differential equation (SDE) onto a submanifold: the Ito-vector and Ito-jet projections. This allows one to systematically develop low dimensional approximations to high dimensional SDEs using differential geometric techniques. The approach generalizes the notion of projecting a vector field onto a submanifold in order to derive approximations to ordinary differential equations, and improves the previous Stratonovich projection method by adding optimality analysis and results. Indeed, just as in the case of ordinary projection, our definitions of projection are based on optimality arguments and give in a well-defined sense "optimal" approximations to the original SDE in the mean-square sense. We also show that the Stratonovich projection satisfies an optimality criterion that is more ad hoc and less appealing than the criteria satisfied by the Ito projections we introduce. As an application we consider approximating the solution of the non-linear filtering problem with a Gaussian distribution and show how the newly introduced Ito projections lead to optimal approximations in the Gaussian family and briefly discuss the optimal approximation for more general families of distribution. We perform a numerical comparison of our optimally approximated filter with the classical Extended Kalman Filter to demonstrate the efficacy of the approach.

Full work available at URL: https://arxiv.org/abs/1610.03887

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zbMATH Keywords

stochastic differential equationoptimal approximationsItô-jet projectionsItô-vector

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes and stochastic analysis on manifolds (58J65) Numerical aspects of computer graphics, image analysis, and computational geometry (65D18) Stochastic difference equations (39A50) Jets in global analysis (58A20)

Cited In (5)

• Optimal projection filters with information geometry
• Projections of SDEs onto submanifolds
• On the Wiener chaos expansion of the signature of a Gaussian process
• An improved quantum projection filter
• Non‐geometric rough paths on manifolds

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