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 journalArticlepeer-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 contributionAnalysis of some discretization schemes for constrained Stochastic Differential Equations
Original languageFrench
Pages (from-to)471-476
Number of pages6
JournalComptes Rendus Mathematique
Volume346
Issue number7-8
DOIs
StatePublished - Apr 2008

ASJC Scopus subject areas

  • Mathematics(all)

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