[Monte-Carlo géométrique pour un opérateur elliptique : approximation numérique forte]
On propose un schéma à un pas, qui, comme le schéma de Milstein, possède la propriété d'approximation forte à l'ordre 1 ; contrairement au schéma de Milstein, notre schéma ne nécessite pas la simulation d'intégrales itérées de Itô du second degré.
A one-step scheme is constructed, which, as the Milstein scheme, has the strong approximation property of order 1; in contrast to the Milstein scheme, our scheme does not involve the simulation of iterated Itô integrals of second order.
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@article{CRMATH_2004__338_6_481_0,
author = {Cruzeiro, Ana Bela and Malliavin, Paul and Thalmaier, Anton},
title = {Geometrization of {Monte-Carlo} numerical analysis of an elliptic operator: strong approximation},
journal = {Comptes Rendus. Math\'ematique},
pages = {481--486},
publisher = {Elsevier},
volume = {338},
number = {6},
year = {2004},
doi = {10.1016/j.crma.2004.01.007},
language = {en},
url = {http://www.numdam.org/articles/10.1016/j.crma.2004.01.007/}
}
TY - JOUR AU - Cruzeiro, Ana Bela AU - Malliavin, Paul AU - Thalmaier, Anton TI - Geometrization of Monte-Carlo numerical analysis of an elliptic operator: strong approximation JO - Comptes Rendus. Mathématique PY - 2004 SP - 481 EP - 486 VL - 338 IS - 6 PB - Elsevier UR - http://www.numdam.org/articles/10.1016/j.crma.2004.01.007/ DO - 10.1016/j.crma.2004.01.007 LA - en ID - CRMATH_2004__338_6_481_0 ER -
%0 Journal Article %A Cruzeiro, Ana Bela %A Malliavin, Paul %A Thalmaier, Anton %T Geometrization of Monte-Carlo numerical analysis of an elliptic operator: strong approximation %J Comptes Rendus. Mathématique %D 2004 %P 481-486 %V 338 %N 6 %I Elsevier %U http://www.numdam.org/articles/10.1016/j.crma.2004.01.007/ %R 10.1016/j.crma.2004.01.007 %G en %F CRMATH_2004__338_6_481_0
Cruzeiro, Ana Bela; Malliavin, Paul; Thalmaier, Anton. Geometrization of Monte-Carlo numerical analysis of an elliptic operator: strong approximation. Comptes Rendus. Mathématique, Tome 338 (2004) no. 6, pp. 481-486. doi : 10.1016/j.crma.2004.01.007. http://www.numdam.org/articles/10.1016/j.crma.2004.01.007/
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