Numerical computation of probabilities for nonlinear SDEs in high dimension using Kolmogorov equation

Franco Flandoli, Dejun Luo and Cristiano Ricci

Applied Mathematics and Computation, 2023, vol. 436, issue C

Abstract: Stochastic Differential Equations (SDEs) in high dimension, having the structure of finite dimensional approximation of Stochastic Partial Differential Equations (SPDEs), are considered. The aim is to numerically compute the expected values and probabilities associated to their solutions, by solving the corresponding Kolmogorov equations, with a partial use of Monte Carlo strategy - precisely, using Monte Carlo only for the linear part of the SDE. The basic idea was presented in [16], but here we strongly improve the numerical results by means of a shift of the auxiliary Gaussian process. For relatively simple nonlinearities, we have good results in dimension of the order of 100.

Keywords: High dimensional Kolmogorov equation; Numerical solution; Iteration scheme; Gaussian process (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:436:y:2023:i:c:s009630032200594x

DOI: 10.1016/j.amc.2022.127520

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