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

DOI10.1112/PLMS.12226MaRDI QIDQ5229330zbMATH OpenOpenAlexFDO

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)

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

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)

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.

Recommendations

• Stochastic filtering by projection: the example of the quadratic sensor
• Stochastic PDE Projection on Manifolds: Assumed-Density and Galerkin Filters
• Approximate nonlinear filtering by projection on exponential manifolds of densities
• A differential geometric approach to nonlinear filtering: the projection filter
• Nonlinear filtering via stochastic PDE projection on mixture manifolds in \(L^2\) direct metric

Cited in

(6)

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

This page was built for publication: Optimal approximation of SDEs on submanifolds: the Itô-vector and Itô-jet projections

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5229330)