The ordinary differential equation approach to asymptotically efficient schemes for solution of stochastic differential equations

zbMath0851.60054MaRDI QIDQ1917686

Jessica Gaines, Fabienne Castell

Publication date: 17 November 1996

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=AIHPB_1996__32_2_231_0

zbMATH Keywords

asymptotic efficiencynumerical approximationstrong solutions of stochastic differential equationsmultidimensional Brownian pathnoncommutative Lie algebra

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Direct numerical methods for linear systems and matrix inversion (65F05)

Related Items (14)

On the stochastic Magnus expansion and its application to SPDEs ⋮ Perturbed linear rough differential equations ⋮ An Optimal Polynomial Approximation of Brownian Motion ⋮ High Order Splitting Methods for SDEs Satisfying a Commutativity Condition ⋮ Smooth Random Functions, Random ODEs, and Gaussian Processes ⋮ On a Chen-Fliess approximation for diffusion functionals ⋮ On explicit local solutions of Itô diffusions ⋮ Numerical simulation of nonlinear dynamical systems driven by commutative noise ⋮ Some derivative-free solvers for numerical solution of SODEs ⋮ Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion ⋮ Product expansion for stochastic jump diffusions and its application to numerical approximation ⋮ Geometric Euler--Maruyama Schemes for Stochastic Differential Equations in SO(n) and SE(n) ⋮ Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion ⋮ Algebraic structures and stochastic differential equations driven by Lévy processes

This page was built for publication: The ordinary differential equation approach to asymptotically efficient schemes for solution of stochastic differential equations