Simulating elliptic diffusions and orthogonal invariance

DOI10.3934/JCD.2024026MaRDI QIDQ6632768

Charles Curry

Publication date: 5 November 2024

Published in: Journal of Computational Dynamics (Search for Journal in Brave)

zbMATH Keywords

Riemannian geometrydiffusion processesorthogonal invariancestrong simulationweak simulation

Mathematics Subject Classification ID

Diffusion processes and stochastic analysis on manifolds (58J65) Numerical solutions to stochastic differential and integral equations (65C30) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Stochastic calculus in manifolds. With an appendix by P.A. Meyer
• Geometrization of Monte-Carlo numerical analysis of an elliptic operator: Strong approximation
• An efficient approximation method for stochastic differential equations by means of the exponential Lie series
• Radial processes for sub-Riemannian Brownian motions and applications
• Monte-Carlo simulation of stochastic differential systems - a geometrical approach
• Stochastic Lie Group Integrators
• Pricing Exotic Options Using Strong Convergence Properties

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