An efficient approximation method for stochastic differential equations by means of the exponential Lie series

Fabienne Castell and Jessica Gaines

Mathematics and Computers in Simulation (MATCOM), 1995, vol. 38, issue 1, 13-19

Abstract: We describe a method of approximation of strong solutions to Stratonovich differential equations, that depends only on the Brownian motion defining the equation. h being the step size, it is known that the order of convergence of such approximations is h in the general case, and of h in some particular cases (one-dimensional Brownian for example). Among the approximation methods with optimal order of convergence, some are asymptotically efficient in the sense that they minimize the leading coefficient in the expansion of the quadratic error. We prove that the proposed method, which is based on the representation of diffusions as flows of an ordinary differential equation, is asymptotically efficient.

Keywords: Stochastic differential equations; Numerical approximations; Efficient estimators (search for similar items in EconPapers)
Date: 1995
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0378475493E0062A
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:38:y:1995:i:1:p:13-19

DOI: 10.1016/0378-4754(93)E0062-A

Access Statistics for this article

Mathematics and Computers in Simulation (MATCOM) is currently edited by Robert Beauwens

More articles in Mathematics and Computers in Simulation (MATCOM) from Elsevier
Bibliographic data for series maintained by Catherine Liu ().