Analyse de certains schémas de discrétisation pour des équations différentielles stochastiques contraintes

Translated title of the contribution: Analysis of some discretization schemes for constrained Stochastic Differential Equations

Tony Lelièvre, Claude Le Bris, Eric Vanden Eijnden

Research output: Contribution to journalArticle

Abstract

We study various discretization schemes for constrained Stochastic Differential Equations. We provide conditions for the two approaches "projection and discretization" and "discretization and projection" to commute with one another. In particular, we show situations when the latter approach yields numerical schemes that are not consistent with the continuous problem. To cite this article: T. Lelièvre et al., C. R. Acad. Sci. Paris, Ser. I 346 (2008).

Original languageFrench
Pages (from-to)471-476
Number of pages6
JournalComptes Rendus Mathematique
Volume346
Issue number7-8
DOIs
StatePublished - Apr 2008

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Discretization Scheme
Stochastic Equations
Discretization
Projection
Differential equation
Commute
Numerical Scheme

ASJC Scopus subject areas

  • Mathematics(all)

Cite this

Analyse de certains schémas de discrétisation pour des équations différentielles stochastiques contraintes. / Lelièvre, Tony; Le Bris, Claude; Vanden Eijnden, Eric.

In: Comptes Rendus Mathematique, Vol. 346, No. 7-8, 04.2008, p. 471-476.

Research output: Contribution to journalArticle

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