2022/04/15 by Deniz Akyıldız, Dan Crisan, Akyildiz, Deniz +3 · 1 citation
Computer Science · Decision Sciences · Social Sciences · #60G35 #60H35 #65C30 #86-08 #Computation (stat.CO) #FOS: Computer and information sciences #FOS: Mathematics #Forecasting Techniques and Applications #Insurance, Mortality, Demography, Risk Management #Numerical Analysis (math.NA) #Probability (math.PR) #Target Tracking and Data Fusion in Sensor Networks
paper · pdf · doi:10.48550/arxiv.2204.07680
openalex publication_date 2022/04/15 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We introduce a predictor-corrector discretisation scheme for the numerical integration of a class of stochastic differential equations and prove that it converges with weak order 1.0. The key feature of the new scheme is that it builds up sequentially (and recursively) in the dimension of the state space of the solution, hence making it suitable for approximations of high-dimensional state space models. We show, using the stochastic Lorenz 96 system as a test model, that the proposed method can operate with larger time steps than the standard Euler-Maruyama scheme and, therefore, generate valid approximations with a smaller computational cost. We also introduce the theoretical analysis of the error incurred by the new predictor-corrector scheme when used as a building block for discrete-time Bayesian filters for continuous-time systems. Finally, we assess the performance of several ensemble Kalman filters that incorporate the proposed sequential predictor-corrector Euler scheme and the standard Euler-Maruyama method. The numerical experiments show that the filters employing the new sequential scheme can operate with larger time steps, smaller Monte Carlo ensembles and noisier systems.