Numerical approximation of diffusions in using normal charts of a Riemannian manifold

A.B. Cruzeiro and P. Malliavin

Stochastic Processes and their Applications, 2006, vol. 116, issue 7, 1088-1095

Abstract: We consider a numerical scheme approximation for a diffusion on a Riemannian manifold using a normal chart approach and prove that it coincides with the modified Milstein scheme introduced in [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].

Keywords: Stochastic; differential; equations; on; manifolds; Milstein; numerical; schemes; Numerical; approximation; of; stochastic; differential; equations (search for similar items in EconPapers)
Date: 2006
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