Ergodic SDEs on submanifolds and related numerical sampling schemes

نویسندگان

چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Customized tamed numerical schemes for SDEs and BSDEs

In this talk we introduce a family of numerical approximations for the stochastic differentialequations (SDEs) with, possibly, no-globally Lipschitz coefficients. We show that for a given Lyapunovfunction V : R → [1,∞) we can construct a suitably tamed Euler scheme that preserves so calledV-stability property of the original SDEs without imposing any restrictions on the time dis...

متن کامل

Ergodic Theory for Sdes with Extrinsic Memory

We develop a theory of ergodicity for a class of random dynamical systems where the driving noise is not white. The two main tools of our analysis are the strong Feller property and topological irreducibility, introduced in this work for a class of non-Markovian systems. They allow us to obtain a criteria for ergodicity which is similar in nature to the Doob–Khas’minskii theorem. The second par...

متن کامل

High Order Numerical Approximation of the Invariant Measure of Ergodic SDEs

We introduce new sufficient conditions for a numerical method to approximate with high order of accuracy the invariant measure of an ergodic system of stochastic differential equations, independently of the weak order of accuracy of the method. We then present a systematic procedure based on the framework of modified differential equations for the construction of stochastic integrators that cap...

متن کامل

Milstein’s type schemes for fractional SDEs

E|Bt −Bs| = cp|t− s| , s, t ∈ [0, 1], with cp = E(|G|), G ∼ N (0, 1), and, consequently, almost all sample paths of B are Hölder continuous of any order α ∈ (0,H). The study of stochastic differential equations driven by B has been considered by using several methods. For instance, in [22] one uses fractional calculus of same type as in [25]; in [2] one uses rough paths theory introduced in [11...

متن کامل

Postprocessed Integrators for the High Order Integration of Ergodic SDEs

The concept of effective order is a popular methodology in the deterministic literature for the construction of efficient and accurate integrators for differential equations over long times. The idea is to enhance the accuracy of a numerical method by using an appropriate change of variables called the processor. We show that this technique can be extended to the stochastic context for the cons...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: ESAIM: Mathematical Modelling and Numerical Analysis

سال: 2020

ISSN: 0764-583X,1290-3841

DOI: 10.1051/m2an/2019071