A symmetry-adapted numerical scheme for SDEs

DOI10.3934/JGM.2019018MaRDI QIDQ6285489arXivFDO

Authors Francesco C. De Vecchi, Andrea Romano, Stefania Ugolini

Publication date 13 April 2017

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Group actions and symmetry properties (58D19) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: We propose a geometric numerical analysis of SDEs admitting Lie symmetries which allows us to individuate a symmetry adapted coordinates system where the given SDE has notable invariant properties. An approximation scheme preserving the symmetry properties of the equation is introduced. Our algorithmic procedure is applied to the family of general linear SDEs for which two theoretical estimates of the numerical forward error are established.

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