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

Tony Lelièvre
, Claude Le Bris
, Eric Vanden-Eijnden

INRIA Rocquencourt
École des ponts
Courant Institute of Mathematical Sciences

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

Résumé

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).

Titre traduit de la contribution	Analysis of some discretization schemes for constrained Stochastic Differential Equations
langue originale	Français
Pages (de - à)	471-476
Nombre de pages	6
journal	Comptes Rendus Mathematique
Volume	346
Numéro de publication	7-8
Les DOIs	https://doi.org/10.1016/j.crma.2008.02.016
état	Publié - 1 janv. 2008

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10.1016/j.crma.2008.02.016

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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).

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

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