Exact Finite-Difference Schemes: Exact difference schemes for stochastic differential equations

Research output: Chapter in Book/Report/Conference proceedingChapter

Abstract

In this Section we propose a new way to construct explicit numerical methods for stochastic differential equations (SDEs) via the Steklov mean. The foundations for this new family of methods are based on the exact finite difference scheme for the deterministic ver sion of the SDEs. First, we construct a scheme for the scalar case which is named Steklov method and present the principal results about its convergence and stability for multiplicative and additive SDEs. Next, we extend the previous method towards a multidimensional set up with coefficients of the SDEs under locally Lipschitz and monotone growth conditions. This method is constructed on the basis that the drift function can be rewritten in a linearized form, hence its name, the Linear Steklov (LS) method. Also we provide numerical evidence of the accuracy and efficiency of the Steklov family of schemes versus several methods for SDEs.
Original languageSpanish (Mexico)
Title of host publicationExact difference schemes
Subtitle of host publicationExact difference schemes for stochastic differential equations
EditorsSergey Lemeshevsky, Piotr Matus, Dmitriy Poliakov
Place of PublicationBerlin, Boston
Chapter6
Pages204
Number of pages2019
Edition1
ISBN (Electronic)9783110491326
DOIs
StatePublished - Sep 2016

Cite this

Díaz Infante Velasco, S. (2016). Exact Finite-Difference Schemes: Exact difference schemes for stochastic differential equations. In S. Lemeshevsky, P. Matus, & D. Poliakov (Eds.), Exact difference schemes: Exact difference schemes for stochastic differential equations (1 ed., pp. 204). Berlin, Boston. https://doi.org/10.1515/9783110491326-008
Díaz Infante Velasco, Saúl. / Exact Finite-Difference Schemes : Exact difference schemes for stochastic differential equations. Exact difference schemes: Exact difference schemes for stochastic differential equations. editor / Sergey Lemeshevsky ; Piotr Matus ; Dmitriy Poliakov . 1. ed. Berlin, Boston, 2016. pp. 204
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Díaz Infante Velasco, S 2016, Exact Finite-Difference Schemes: Exact difference schemes for stochastic differential equations. in S Lemeshevsky, P Matus & D Poliakov (eds), Exact difference schemes: Exact difference schemes for stochastic differential equations. 1 edn, Berlin, Boston, pp. 204. https://doi.org/10.1515/9783110491326-008

Exact Finite-Difference Schemes : Exact difference schemes for stochastic differential equations. / Díaz Infante Velasco, Saúl.

Exact difference schemes: Exact difference schemes for stochastic differential equations. ed. / Sergey Lemeshevsky; Piotr Matus; Dmitriy Poliakov . 1. ed. Berlin, Boston, 2016. p. 204.

Research output: Chapter in Book/Report/Conference proceedingChapter

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Díaz Infante Velasco S. Exact Finite-Difference Schemes: Exact difference schemes for stochastic differential equations. In Lemeshevsky S, Matus P, Poliakov D, editors, Exact difference schemes: Exact difference schemes for stochastic differential equations. 1 ed. Berlin, Boston. 2016. p. 204 https://doi.org/10.1515/9783110491326-008