A symmetry-adapted numerical scheme for SDEs
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Publication:6285489
DOI10.3934/JGM.2019018arXiv1704.04167MaRDI QIDQ6285489FDOQ6285489
Authors: Francesco C. De Vecchi, Andrea Romano, Stefania Ugolini 
Publication date: 13 April 2017
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.
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Group actions and symmetry properties (58D19) Numerical solutions to stochastic differential and integral equations (65C30)
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