Geodesic
Numerical methods for Stochastic differential equations: two examples
Paul-Éric Chaudru de Raynal1 ; Gilles Pagès2 ; Clément Rey3
1 LAMA, Université Savoie Mont Blanc, pe.deraynal@univ-savoie.fr
2 LPSM, UPMC, gilles.pages@upmc.fr
3 LPSM, UPMC, clement.rey@upmc.fr
ESAIM. Proceedings, Tome 64 (2018), pp. 65-77 Cet article a éte moissonné depuis la source EDP Sciences

Voir la notice de l'article

The goal of this paper is to present a series of recent contributions arising in numerical probability. First we present a contribution to a recently introduced problem: stochastic differential equations with constraints in law, investigated through various theoretical and numerical viewpoints. Such a problem may appear as an extension of the famous Skorokhod problem. Then a generic method to approximate in a weak way the invariant distribution of an ergodic Feller process by a Langevin Monte Carlo simulation. It is an extension of a method originally developed for diffusions and based on the weighted empirical measure of an Euler scheme with decreasing step. Finally, we mention without details a recent development of a multilevel Langevin Monte Carlo simulation method for this type of problem.
DOI : 10.1051/proc/201864065

Paul-Éric Chaudru de Raynal 1 ; Gilles Pagès 2 ; Clément Rey 3

1 LAMA, Université Savoie Mont Blanc, pe.deraynal@univ-savoie.fr
2 LPSM, UPMC, gilles.pages@upmc.fr
3 LPSM, UPMC, clement.rey@upmc.fr 
@article{EP_2018_64_a5,
     author = {Paul-\'Eric Chaudru de Raynal and Gilles Pag\`es and Cl\'ement Rey},
     title = {Numerical methods for {Stochastic} differential equations: two examples},
     journal = {ESAIM. Proceedings},
     pages = {65--77},
     year = {2018},
     volume = {64},
     doi = {10.1051/proc/201864065},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.1051/proc/201864065/}
}
TY  - JOUR
AU  - Paul-Éric Chaudru de Raynal
AU  - Gilles Pagès
AU  - Clément Rey
TI  - Numerical methods for Stochastic differential equations: two examples
JO  - ESAIM. Proceedings
PY  - 2018
SP  - 65
EP  - 77
VL  - 64
UR  - http://geodesic.mathdoc.fr/articles/10.1051/proc/201864065/
DO  - 10.1051/proc/201864065
LA  - en
ID  - EP_2018_64_a5
ER  - 
%0 Journal Article
%A Paul-Éric Chaudru de Raynal
%A Gilles Pagès
%A Clément Rey
%T Numerical methods for Stochastic differential equations: two examples
%J ESAIM. Proceedings
%D 2018
%P 65-77
%V 64
%U http://geodesic.mathdoc.fr/articles/10.1051/proc/201864065/
%R 10.1051/proc/201864065
%G en
%F EP_2018_64_a5
Paul-Éric Chaudru de Raynal; Gilles Pagès; Clément Rey. Numerical methods for Stochastic differential equations: two examples. ESAIM. Proceedings, Tome 64 (2018), pp. 65-77. doi: 10.1051/proc/201864065

Cité par Sources :