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Monte-Carlo simulation of stochastic differential systems - a geometrical approach. (English) Zbl 1141.60042
From the authors’ summary: We develop some numerical schemes for \(d\)-dimensional stochastic differential equations derived from Milstein approximations of diffusions which are obtained by lifting the solutions of the stochastic differential equations to higher dimensional spaces using geometrical tools, in the line of the work of A. B. Cruzeiro, P. Malliavin and A. Thalmaier [C. R., Math., Acad. Sci. Paris 338, No. 6, 481–486 (2004; Zbl 1046.65006)].

MSC:
60H35 Computational methods for stochastic equations (aspects of stochastic analysis)
65C30 Numerical solutions to stochastic differential and integral equations
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
65C05 Monte Carlo methods
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