Title of article
Numerical approximation of diffusions in using normal charts of a Riemannian manifold
Author/Authors
Cruzeiro، نويسنده , , A.B. and Malliavin، نويسنده , , P.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2006
Pages
8
From page
1088
To page
1095
Abstract
We consider a numerical scheme approximation for a diffusion on a Riemannian manifold using a normal chart approach and prove that it coincides with the modified Milstein scheme introduced in [A.B. Cruzeiro, P. Malliavin, A. Thalmaier, Geometrization of Monte-Carlo numerical analysis of an elliptic operator: strong approximation, C. R. Acad. Sci. Paris, Ser. I 338 (2004) 481–486].
Keywords
Stochastic differential equations on manifolds , Milstein numerical schemes , Numerical approximation of stochastic differential equations
Journal title
Stochastic Processes and their Applications
Serial Year
2006
Journal title
Stochastic Processes and their Applications
Record number
1577803
Link To Document