Novel Girsanov correction based Milstein schemes for analysis of nonlinear multi-dimensional stochastic dynamical systems

DOI10.1016/j.apm.2023.05.041zbMath1525.65012OpenAlexW4379390583MaRDI QIDQ6048913

Souvik Chakraborty, Tapas Tripura, Budhaditya Hazra

Publication date: 13 October 2023

Published in: Applied Mathematical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apm.2023.05.041

zbMATH Keywords

stochastic differential equationschange of measureerror processGirsanov filtrationmilstein mapping

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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• Exact simulation of diffusions
• Numerical Treatment of Stochastic Differential Equations
• Balanced Implicit Methods for Stiff Stochastic Systems
• An Informal Introduction to Stochastic Calculus with Applications
• On the optimal filtering of diffusion processes

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