Single-seed generation of Brownian paths and integrals for adaptive and high order SDE solvers
Despite the success of adaptive time-stepping in ODE simulation, it has so far seen few
applications for Stochastic Differential Equations (SDEs). To simulate SDEs adaptively …
applications for Stochastic Differential Equations (SDEs). To simulate SDEs adaptively …
Approximating the signature of Brownian motion for high order SDE simulation
J Foster - arXiv preprint arXiv:2409.10118, 2024 - arxiv.org
The signature is a collection of iterated integrals describing the" shape" of a path. It appears
naturally in the Taylor expansions of controlled differential equations and, as a …
naturally in the Taylor expansions of controlled differential equations and, as a …
Higher-order spring-coupled multilevel Monte Carlo method for invariant measures
S Ragunathan, HA Hoel - arXiv preprint arXiv:2403.06310, 2024 - arxiv.org
A higher-order change-of-measure multilevel Monte Carlo (MLMC) method is developed for
computing weak approximations of the invariant measures of SDE with drift coefficients that …
computing weak approximations of the invariant measures of SDE with drift coefficients that …