A symmetry-adapted numerical scheme for SDEs

DOI10.3934/jgm.2019018OpenAlexW2605511739MaRDI QIDQ2296018

Francesco C. De Vecchi, Stefania Ugolini, Andrea Romano

Publication date: 17 February 2020

Published in: Journal of Geometric Mechanics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1704.04167

zbMATH Keywords

Lie symmetry analysisgeometric numerical integrationnumerical methods for stochastic differential equationssymmetries of stochastic differential equations

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)

Related Items (4)

Symmetries of stochastic differential equations using Girsanov transformations ⋮ Weak symmetries of stochastic differential equations driven by semimartingales with jumps ⋮ Some recent developments on Lie symmetry analysis of stochastic differential equations ⋮ Reduction and reconstruction of SDEs via Girsanov and quasi Doob symmetries

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