Monte-Carlo simulation of stochastic differential systems — a geometrical approach |
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Authors: | CJS Alves AB Cruzeiro |
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Institution: | 1. Departamento de Matemática, Instituto Superior Técnico, TULisbon, Av. Rovisco Pais 1, 1049-001 LISBOA, Portugal;2. CEMAT, Av. Rovisco Pais 1, 1049-001 LISBOA, Portugal;3. Grupo de Física-Matemática ULisbon, Portugal |
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Abstract: | We develop some numerical schemes for d-dimensional stochastic differential equations derived from Milstein approximations of diffusions which are obtained by lifting the solutions of the stochastic differential equations to higher dimensional spaces using geometrical tools, in the line of the work A.B. Cruzeiro, P. Malliavin, A. Thalmaier, Geometrization of Monte-Carlo numerical analysis of an elliptic operator: Strong approximation, C. R. Acad. Sci. Paris, Ser. I 338 (2004) 481–486]. |
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Keywords: | Numerical approximation of stochastic differential equations Geometrical numerical schemes for diffusions Milstein numerical schemes |
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