Numerical methods for strong solutions of stochastic differential equations: an overview

Burrage, K., Burrage, P.M. and Tian, T. (2004) Numerical methods for strong solutions of stochastic differential equations: an overview. Proceedings of the Royal Society of London Series A: Mathematical, Physical and Engineering Sciences, 460(2041), pp. 373-402. (doi:10.1098/rspa.2003.1247)

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Abstract

This paper gives a review of recent progress in the design of numerical methods for computing the trajectories (sample paths) of solutions to stochastic differential equations. We give a brief survey of the area focusing on a number of application areas where approximations to strong solutions are important, with a particular focus on computational biology applications, and give the necessary analytical tools for understanding some of the important concepts associated with stochastic processes. We present the stochastic Taylor series expansion as the fundamental mechanism for constructing effective numerical methods, give general results that relate local and global order of convergence and mention the Magnus expansion as a mechanism for designing methods that preserve the underlying structure of the problem. We also present various classes of explicit and implicit methods for strong solutions, based on the underlying structure of the problem. Finally, we discuss implementation issues relating to maintaining the Brownian path, efficient simulation of stochastic integrals and variable-step-size implementations based on various types of control.

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:Tian, Dr Tianhai
Authors: Burrage, K., Burrage, P.M., and Tian, T.
Subjects:Q Science > QA Mathematics
College/School:College of Science and Engineering > School of Mathematics and Statistics > Mathematics
Journal Name:Proceedings of the Royal Society of London Series A: Mathematical, Physical and Engineering Sciences
ISSN:1364-5021
ISSN (Online):1471-2946

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