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Communication Dans Un Congrès Année : 2018

Numerical methods for Stochastic differential equations: two examples

Résumé

The goal of this paper is to present a series of recent contributions arising in numerical probability. First we present a contribution to a recently introduced problem: stochastic differential equations with constraints in law, investigated through various theoretical and numerical viewpoints. Such a problem may appear as an extension of the famous Skorokhod problem. Then a generic method to approximate in a weak way the invariant distribution of an ergodic Feller process by a Langevin Monte Carlo simulation. It is an extension of a method originally developed for diffusions and based on the weighted empirical measure of an Euler scheme with decreasing step. Finally, we mention without details a recent development of a multilevel Langevin Monte Carlo simulation method for this type of problem.

Dates et versions

hal-03918534 , version 1 (02-01-2023)

Identifiants

Citer

Paul-Éric Chaudru de Raynal, Gilles Pagès, Clément Rey. Numerical methods for Stochastic differential equations: two examples. SMAI 2017 - 8e Biennale Française des Mathématiques Appliquées et Industrielles, Jun 2017, Ronce les Bains, France. pp.65-77, ⟨10.1051/proc/201864065⟩. ⟨hal-03918534⟩
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