Monte-Carlo simulation of stochastic differential systems - a geometrical approach (Q2476884)

From the authors' summary: We develop some numerical schemes for \(d\)-dimensional stochastic differential equations derived from Milstein approximations of diffusions which are obtained by lifting the solutions of the stochastic differential equations to higher dimensional spaces using geometrical tools, in the line of the work of \textit{A. B. Cruzeiro, P. Malliavin} and \textit{A. Thalmaier} [C. R., Math., Acad. Sci. Paris 338, No. 6, 481--486 (2004; Zbl 1046.65006)].