Iguchi, Yuga and Yamada, Toshihiro (2021) A second-order discretization for degenerate systems of stochastic differential equations. IMA Journal of Numerical Analysis, 41 (4). pp. 2782-2829. ISSN 0272-4979
Full text not available from this repository.Abstract
The paper proposes a new second-order weak approximation scheme for hypoelliptic diffusions or degenerate systems of stochastic differential equations satisfying a certain Hörmander condition. The scheme is constructed by a Gaussian process and a stochastic polynomial weight through a technique based on Malliavin calculus, and is implemented by a Monte Carlo method and a quasi-Monte Carlo method. A variance analysis for the Monte Carlo method is discussed, and further control variate methods are introduced to reduce the variance. The effectiveness of the proposed scheme is illustrated through numerical experiments for some hypoelliptic diffusions.