Algebraic structure of stochastic expansions and efficient simulation

DOI10.1098/RSPA.2012.0024zbMATH Open1371.60102arXiv1112.5571OpenAlexW3102976634MaRDI QIDQ5362000FDOQ5362000

Hans Munthe-Kaas, Simon J. A. Malham, Kurusch Ebrahimi-Fard, Anke Wiese, Alexander Lundervold

Publication date: 29 September 2017

Published in: Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Abstract: We investigate the algebraic structure underlying the stochastic Taylor solution expansion for stochastic differential systems.Our motivation is to construct efficient integrators. These are approximations that generate strong numerical integration schemes that are more accurate than the corresponding stochastic Taylor approximation, independent of the governing vector fields and to all orders. The sinhlog integrator introduced by Malham & Wiese (2009) is one example. Herein we: show that the natural context to study stochastic integrators and their properties is the convolution shuffle algebra of endomorphisms; establish a new whole class of efficient integrators; and then prove that, within this class, the sinhlog integrator generates the optimal efficient stochastic integrator at all orders.

Full work available at URL: https://arxiv.org/abs/1112.5571

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Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Analytical theory of ordinary differential equations: series, transformations, transforms, operational calculus, etc. (34A25)

Cited In (9)

• A technique for studying strong and weak local errors of splitting stochastic integrators
• Quasi-shuffle algebras in non-commutative stochastic calculus
• Computationally Efficient Atomic Representations for Nonstationary Stochastic Processes
• Algebraic stuttering simulations
• Word series for dynamical systems and their numerical integrators
• The non-commutative Korteweg-de Vries hierarchy and combinatorial Pöppe algebra
• Word combinatorics for stochastic differential equations: splitting integrators
• Lévy processes and quasi-shuffle algebras
• Algebraic structures and stochastic differential equations driven by Lévy processes

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