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|
|Number of pages||6|
|Journal||Comptes Rendus Mathematique|
|State||Published - Apr 2008|
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