Numerical computation of probabilities for nonlinear SDEs in high dimension using Kolmogorov equation

作者：

Highlights：

• Numerical computation of SDEs in high dimension is approached via Gaussian analysis.

• We make use of the Kolmogorov equation associated to the SDE to compute probabilities.

• A novel strategy that allow to reuse samples from a Gaussian process is applied to study nonlinear problems.

摘要

•Numerical computation of SDEs in high dimension is approached via Gaussian analysis.•We make use of the Kolmogorov equation associated to the SDE to compute probabilities.•A novel strategy that allow to reuse samples from a Gaussian process is applied to study nonlinear problems.

论文关键词：High dimensional Kolmogorov equation,Numerical solution,Iteration scheme,Gaussian process

论文评审过程：Received 1 February 2022, Revised 7 July 2022, Accepted 31 August 2022, Available online 11 September 2022, Version of Record 11 September 2022.

论文官网地址：https://doi.org/10.1016/j.amc.2022.127520