Stochastic Approximation Finite Element Method: Analytical Formulas for Multidimensional Diffusion Process

DOI10.1137/130928431zbMath1322.60134OpenAlexW2091665787MaRDI QIDQ5245405

Emmanuel Gobet, Romain Bompis

Publication date: 8 April 2015

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/130928431

zbMATH Keywords

finite elementsMalliavin calculusstochastic differential equationsweak approximationdiffusion processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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