Pathwise approximation of SDE solutions using coupling

Stochastic Analysis Seminar Series

The standard Taylor series approach to the higher-order approximation of vector SDEs requires simulation of iterated stochastic integrals, which is difficult. The talk will describe an approach using methods from optimal transport theory which avoid this difficulty in the case of non-degenerate diffusions, for which one can attain arbitrarily high order pathwise approximation in the Vaserstein 2-metric, using easily generated random variables.


Sandie Davie (University of Edinburgh)

Monday, March 11, 2013 - 14:15
to 15:15