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

Mathematics

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
State	Published - Apr 2008

ASJC Scopus subject areas

General Mathematics

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10.1016/j.crma.2008.02.016

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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",

note = "Funding Information: ✩ Les deux premiers auteurs ont b{\'e}n{\'e}fici{\'e} du support financier du Minist{\`e}re de la Recherche et des Nouvelles Technologies, dans le cadre de l{\textquoteright}action « Nouvelles Interfaces des Math{\'e}matiques » Programme SIMUMOL, et de l{\textquoteright}Agence Nationale de la Recherche, Programme non th{\'e}matique INGEMOL. Le troisi{\`e}me auteur a b{\'e}n{\'e}fici{\'e} des supports financiers suivants : NSF Grant Nos. DMS02-09959 et DMS02-39625, et ONR Gant No. N00014-04-1-0565. Adresses e-mail : [email protected] (T. Leli{\`e}vre), [email protected] (C. Le Bris), [email protected] (E. Vanden-Eijnden).",

year = "2008",

month = apr,

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

language = "French",

volume = "346",

pages = "471--476",

journal = "Comptes Rendus Mathematique",

issn = "1631-073X",

publisher = "Elsevier Masson",

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AU - Lelièvre, Tony

AU - Le Bris, Claude

AU - Vanden-Eijnden, Eric

N1 - Funding Information: ✩ Les deux premiers auteurs ont bénéficié du support financier du Ministère de la Recherche et des Nouvelles Technologies, dans le cadre de l’action « Nouvelles Interfaces des Mathématiques » Programme SIMUMOL, et de l’Agence Nationale de la Recherche, Programme non thématique INGEMOL. Le troisième auteur a bénéficié des supports financiers suivants : NSF Grant Nos. DMS02-09959 et DMS02-39625, et ONR Gant No. N00014-04-1-0565. Adresses e-mail : [email protected] (T. Lelièvre), [email protected] (C. Le Bris), [email protected] (E. Vanden-Eijnden).

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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).

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

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