Evaluation of conditional Wiener integrals by numerical integration of stochastic differential equations

DOI10.1016/J.JCP.2003.12.001zbMATH Open1059.65007OpenAlexW1999431993MaRDI QIDQ598147FDOQ598147

Authors: Grigori N. Milstein, M. V. Tretyakov 

Publication date: 6 August 2004

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jcp.2003.12.001

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zbMATH Keywords

variance reductionWiener processesMonte Carlo simulationstochastic differential equationsFeynman path integralsconditional Wiener integralsexponential type functionalsRunge-Kutta type method

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Vector-valued set functions, measures and integrals (28B05) Ordinary differential equations and systems with randomness (34F05) Numerical solutions to stochastic differential and integral equations (65C30) Algorithms for approximation of functions (65D15) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Feynman integrals and graphs; applications of algebraic topology and algebraic geometry (81Q30)

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Cited In (46)

• Convergence rate and stability of the truncated Euler-Maruyama method for stochastic differential equations
• A probabilistic method for numerical solution of quasi-linear parabolic equations
• On weak approximations of \((a, b)\)-invariant diffusions
• Weak stochastic Runge-Kutta Munthe-Kaas methods for finite spin ensembles
• Stable schemes for dissipative particle dynamics with conserved energy
• Numerical study of interacting particles approximation for integro-differential equations
• A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods
• A hardware generator of multi-point distributed random numbers for Monte Carlo simulation
• Title not available (Why is that?)
• One-step approximations for stochastic functional differential equations
• Numerical solution of stochastic differential equations in the sense of Stratonovich in an amorphization crystal lattice model
• Classification of stochastic Runge-Kutta methods for the weak approximation of stochastic differential equations
• Analysis of a new stochastic Gompertz diffusion model for untreated human glioblastomas
• Efficient Estimation of One-Dimensional Diffusion First Passage Time Densities via Monte Carlo Simulation
• The fully implicit stochastic-\(\alpha \) method for stiff stochastic differential equations
• Computational singular perturbation analysis of stochastic chemical systems with stiffness
• Diagonally drift-implicit Runge-Kutta methods of weak order one and two for Itô SDEs and stability analysis
• Runge-Kutta methods for jump-diffusion differential equations
• Strong convergence of the split-step theta method for neutral stochastic delay differential equations
• The truncated Euler-Maruyama method for stochastic differential equations
• Computing ergodic limits for Langevin equations
• Simulation of forward-reverse stochastic representations for conditional diffusions
• Diagonally drift-implicit Runge-Kutta methods of strong order one for stiff stochastic differential systems
• Evaluation of various Wiener integrals by use of certain Sturm-Liouville differential equations
• A high-order discontinuous Galerkin method for Itô stochastic ordinary differential equations
• Variance reduction for discretised diffusions via regression
• A mathematical framework for critical transitions: bifurcations, fast-slow systems and stochastic dynamics
• Order-preserving strong schemes for SDEs with locally Lipschitz coefficients
• A weak local linearization scheme for stochastic differential equations with multiplicative noise
• Exponential stability in \(p\)-th mean of solutions, and of convergent Euler-type solutions, of stochastic delay differential equations
• Continuous weak approximation for stochastic differential equations
• An efficient computational method for statistical moments of Burger's equation with random initial conditions
• SDELab: A package for solving stochastic differential equations in MATLAB
• A new parallel solver suited for arbitrary semilinear parabolic partial differential equations based on generalized random trees
• On an infinite integral arising in the numerical integration of stochastic differential equations
• An importance sampling technique in Monte Carlo methods for SDEs with a.s. stable and mean-square unstable equilibrium
• Stochastic symplectic Runge-Kutta methods for the strong approximation of Hamiltonian systems with additive noise
• On Simulating Wiener Integrals and Their Expectations
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• Adaptive Itô-Taylor algorithm can optimally approximate the Itô integrals of singular functions
• Mean-square convergence of stochastic multi-step methods with variable step-size
• A multigrid-like algorithm for probabilistic domain decomposition
• Forward-reverse expectation-maximization algorithm for Markov chains: convergence and numerical analysis
• Computing conditional Wiener integrals of functionals of a general form
• Weak forms of the locally transversal linearization (LTL) technique for stochastically driven nonlinear oscillators
• Convergence and convergence rates for approximating ergodic means of functions of solutions to stochastic differential equations with Markov switching

Uses Software

• RODAS

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