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

Tony Lelièvre; Claude Le Bris; Eric Vanden-Eijnden

doi:10.1016/j.crma.2008.02.016

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

INRIA Rocquencourt
École des ponts
Courant Institute of Mathematical Sciences

Research output: Contribution to journal › Article › peer-review

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).

Translated title of the contribution	Analysis of some discretization schemes for constrained Stochastic Differential Equations
Original language	French
Pages (from-to)	471-476
Number of pages	6
Journal	Comptes Rendus Mathematique
Volume	346
Issue number	7-8
DOIs	https://doi.org/10.1016/j.crma.2008.02.016
Publication status	Published - 1 Jan 2008

Access to Document

10.1016/j.crma.2008.02.016

Cite this

@article{8f36ca4798ae4ecfbaba8081769726dd,

title = "Analyse de certains sch{\'e}mas de discr{\'e}tisation pour des {\'e}quations diff{\'e}rentielles stochastiques contraintes",

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. Leli{\`e}vre et al., C. R. Acad. Sci. Paris, Ser. I 346 (2008).",

author = "Tony Leli{\`e}vre and \{Le Bris\}, Claude and Eric Vanden-Eijnden",

year = "2008",

month = jan,

day = "1",

doi = "10.1016/j.crma.2008.02.016",

language = "Fran{\c c}ais",

volume = "346",

pages = "471--476",

journal = "Comptes Rendus Mathematique",

issn = "1631-073X",

number = "7-8",

}

TY - JOUR

T1 - Analyse de certains schémas de discrétisation pour des équations différentielles stochastiques contraintes

AU - Lelièvre, Tony

AU - Le Bris, Claude

AU - Vanden-Eijnden, Eric

PY - 2008/1/1

Y1 - 2008/1/1

N2 - 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).

AB - 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).

UR - https://www.scopus.com/pages/publications/41949132604

U2 - 10.1016/j.crma.2008.02.016

DO - 10.1016/j.crma.2008.02.016

M3 - Article

AN - SCOPUS:41949132604

SN - 1631-073X

VL - 346

SP - 471

EP - 476

JO - Comptes Rendus Mathematique

JF - Comptes Rendus Mathematique

IS - 7-8

ER -

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

Abstract

Access to Document

Other files and links

Fingerprint

Cite this