Professional Documents
Culture Documents
2017 (Aug-Nov)
Budhaditya Hazra
Room N-307
1
CE 513: Statistical Methods in CE
ITO CALCULUS-4
Dr. B Hazra 2
STOCHASTIC DEQ: Preliminaries
ITO-Taylor expansion: Preliminaries
𝑑𝑥
Consider the ODE = 𝑎 𝑥(𝑡ሻ ; 𝑥 𝑡0 = 𝑥0 & 0 ≤ 𝑡0 ≤ 𝑇
𝑑𝑡
𝑡
The solution can be written as: 𝑥 𝑡 = 𝑥 𝑡0 + න 𝑎 𝑥(𝑠ሻ 𝑑𝑠
𝑡𝑜
𝑡
= 𝑥0 + න 𝑎 𝑥(𝑠ሻ 𝑑𝑠
𝑡𝑜
𝑑 𝑓 𝑥(𝑡ሻ
Define: = ℒ𝑓 𝑥(𝑡ሻ
𝑑𝑡
𝑑 𝑓 𝑥(𝑡ሻ 𝜕 𝑓 𝑥(𝑡ሻ 𝑑𝑥
For a function 𝑓 𝑥(𝑡ሻ we can write =
𝑑𝑡 𝜕𝑥 𝑑𝑡
Eq. 1
𝑑 𝑓 𝑥(𝑡ሻ 𝜕 𝑓 𝑥(𝑡ሻ
= 𝑎 𝑥(𝑡ሻ
𝑑𝑡 𝜕𝑥
3
Dr. B Hazra
STOCHASTIC DEQ: Preliminaries
𝜕
Integral equation : By defining a linear operator ℒ = 𝑎 𝑥(𝑡ሻ
𝜕𝑥
Case-1) Case-2)
𝑑𝑥(𝑡ሻ 𝜕𝑥 𝑑 𝑎 𝑥(𝑡ሻ 𝜕
= ℒ𝑥 𝑡 = 𝑎 𝑥(𝑡ሻ = 𝑎 𝑥(𝑡ሻ =ℒ𝑎 𝑥 𝑡 = 𝑎 𝑥(𝑡ሻ 𝑎 𝑥(𝑡ሻ
𝑑𝑡 𝜕𝑥 𝑑𝑡 𝜕𝑥
𝑡 𝑡
𝑥 𝑡 = 𝑥0 + න 𝑎 𝑥(𝑠ሻ 𝑑𝑠 Eq. 2 𝑎 𝑥(𝑡ሻ = 𝑎 𝑥(𝑡0 ሻ + න ℒ𝑎 𝑥(𝑠ሻ 𝑑𝑠
𝑡𝑜 𝑡𝑜
Eq. 3
Dr. B Hazra 4
STOCHASTIC DEQ: Preliminaries
𝑡 𝑡
From 2 and 3 : x 𝑡 = 𝑥0 + 𝑥 𝑎 𝑡0 𝑑𝑠1 + 𝑡ℒ𝑎 𝑥 𝑠2 𝑑𝑠2 𝑑𝑠
𝑜 𝑜
Eq. 4
𝑡 𝑡 𝑠1
= 𝑥0 + 𝑎 𝑥0 න 𝑑𝑠1 + න න ℒ𝑎 𝑥(𝑠2 ሻ 𝑑𝑠2 𝑑𝑠1
𝑡𝑜 𝑡𝑜 𝑡𝑜
𝑑ℒ𝑎 𝑥 𝑡
= ℒ ℒ𝑎 𝑥 𝑡 = ℒ 2𝑎 𝑥 𝑡
𝑑𝑡
𝑡 𝑡
ℒ𝑎 𝑥 𝑡 = ℒ𝑎 𝑥0 + න ℒ 2𝑎 𝑥 𝑠 𝑑𝑠 𝑎 𝑥(𝑡ሻ = 𝑎 𝑥(𝑡0 ሻ + න ℒ𝑎 𝑥(𝑠ሻ 𝑑𝑠
𝑡𝑜 𝑡𝑜
𝑠2
ℒ 𝑎 𝑥 𝑠2 = ℒ𝑎 𝑥0 + න ℒ 2 𝑎 𝑥 𝑠3 𝑑𝑠3 Eq. 5
𝑡𝑜
Dr. B Hazra 5
STOCHASTIC DEQ: Preliminaries
From Eq. 4 and 5 :
𝑡 𝑡 𝑠1 𝑠1
𝑥 𝑡 = 𝑥0 + 𝑎 𝑥0 න 𝑑𝑠1 + න න ℒ𝑎 𝑥0 + න ℒ 2 𝑎 𝑥(𝑠3 ሻ 𝑑𝑠3 𝑑𝑠2 𝑑𝑠1
𝑡𝑜 𝑡𝑜 𝑡𝑜 𝑡𝑜
𝑡 𝑡 𝑠1 𝑡 𝑠1 𝑠2
2
= 𝑥0 + 𝑎 𝑥0 න 𝑑𝑠1 + ℒ𝑎 𝑥0 න න 𝑑𝑠2 𝑑𝑠1 + ℒ 𝑎 𝑥(𝑠3 ሻ න න න 𝑑𝑠3 𝑑𝑠2 𝑑𝑠1
𝑡𝑜 𝑡𝑜 𝑡𝑜 𝑡𝑜 𝑡𝑜 𝑡0
𝑡 𝑡 𝑠1
= 𝑥0 + 𝑎 𝑥0 න 𝑑𝑠1 + ℒ𝑎 𝑥0 න න 𝑑𝑠2 𝑑𝑠1 + 𝑅
𝑡𝑜 𝑡𝑜 𝑡𝑜
𝑡 𝑠1 𝑠2
𝑅 = න න න ℒ 2 𝑎 𝑥(𝑠3 ሻ 𝑑𝑠3 𝑑𝑠2 𝑑𝑠1
𝑡𝑜 𝑡𝑜 𝑡0
Dr. B Hazra 6
2. STOCH-DEQ: ITO-Taylor expansion
Starting point: Diffusion Equation and Ito’s lemma
𝑑𝑥 𝑡 = 𝑎 𝑥(𝑡ሻ 𝑑𝑡 + 𝑏 𝑥 𝑡 𝑑𝐵 𝑡 , 𝑥 𝑡0 = 𝑥0
1
Ito’s Lemma: 𝑑𝑓 𝑥 𝑡 = 𝑓 ′ 𝑥 𝑡 𝑑𝑥 𝑡 + 𝑓 ′′ 𝑥 𝑡 𝑏2 𝑥 𝑡 𝑑𝑡
2
1
𝑑𝑓 𝑥 𝑡 = 𝑓′ 𝑥 𝑡 𝑎 𝑥 𝑡 𝑑𝑡 + 𝑏 𝑥 𝑡 𝑑𝐵 𝑡 + 𝑓 ′′ 𝑥 𝑡 𝑏2 𝑥 𝑡 𝑑𝑡
2
𝜕𝑓 ′ 𝑥 𝑡 1 2 𝜕2𝑓 𝑥 𝑡 𝜕𝑓 𝑥 𝑡
= 𝑎𝑥 𝑡 + 𝑏 𝑥 𝑡 𝑑𝑡 + 𝑏 𝑥(𝑡ሻ 𝑑𝐵(𝑡ሻ
𝜕𝑥 2 𝜕𝑥 2 𝜕𝑥
𝑓𝑥 𝑡
𝑡 𝑡
𝜕𝑓 𝑥 𝑠 1 2 𝜕2𝑓 𝑥 𝑠 𝜕𝑓 𝑥 𝑠
= 𝑓 𝑥(𝑡0 ሻ + න 𝑎𝑥 𝑠 + 𝑏 𝑥 𝑠 𝑑𝑠 + න 𝑏 𝑥(𝑠ሻ 𝑑𝐵(𝑠ሻ
𝑡𝑜 𝜕𝑥 2 𝜕𝑥 2 𝑡0 𝜕𝑥
Eq. 2.1
Dr. B Hazra 7
STOCH-DEQ: ITO-Taylor expansion
𝜕 1 2 𝜕2 𝜕
Define: ℒ0 = 𝑎 𝑥(𝑠ሻ + 𝑏 𝑥 𝑠 and ℒ1 = 𝑏 𝑥(𝑠ሻ
𝜕𝑥 2 𝜕𝑥 2 𝜕𝑥
𝑡 𝑡
Eqn. 2.1 becomes 𝑓𝑥 𝑡 = 𝑓 𝑥(𝑡0 ሻ + න ℒ 0𝑓 𝑥(𝑠ሻ 𝑑𝑠 + න ℒ 1 𝑓 𝑥 𝑠 𝑑𝐵(𝑠ሻ Eq. 2.2
𝑡0 𝑡0
𝑓𝑥 𝑡 =𝑥 𝑡
0
𝜕 1 2 𝜕2 1
𝜕
ℒ = 𝑎 𝑥(𝑠ሻ + 𝑏 𝑥 𝑠 𝑥 𝑡 = 𝑎 𝑥(𝑠ሻ ; ℒ = 𝑏 𝑥(𝑠ሻ 𝑥 𝑡 = 𝑏 𝑥(𝑠ሻ
𝜕𝑥 2 𝜕𝑥 2 𝜕𝑥
𝑡 𝑡
𝑥 𝑡 = 𝑥 𝑡0 + න ℒ 𝑥(𝑠ሻ 𝑑𝑠 + න ℒ 1 𝑥 𝑠 𝑑𝐵(𝑠ሻ
0
𝑡0 𝑡0
𝑡 𝑡 Eq. 2.3
= 𝑥 𝑡0 + න 𝑎 𝑥(𝑠ሻ 𝑑𝑠 + න 𝑏 𝑥 𝑠 𝑑𝐵(𝑠ሻ
𝑡0 𝑡0
Dr. B Hazra 8
STOCH-DEQ: ITO-Taylor expansion
Further for 𝑓 𝑥 𝑡 =𝑎 𝑥 𝑠 and using eq. 2.2
𝑠 𝑠
𝑎𝑥 𝑠 = 𝑎 𝑥(𝑡0 ሻ + 𝑡1 ℒ 0 𝑎 𝑥(𝑠2 ሻ 𝑑𝑠2 + 𝑡1 ℒ 1 𝑎 𝑥 𝑠2 𝑑𝐵(𝑠2 ) Eq. 2.4
0 0
𝑠 𝑠
𝑏𝑥 𝑠 = 𝑏 𝑥 𝑡0 + 𝑡1 ℒ 0 𝑏 𝑥(𝑠2 ሻ 𝑑𝑠2 + 𝑡1 ℒ 1 𝑏 𝑥 𝑠2 𝑑𝐵(𝑠2 ) Eq. 2.5
0 0
Inserting the results of Eqs. 2.4 and 2.5 into Eq. 2.3
𝑡 𝑠1 𝑠1
𝑥 𝑡 = 𝑥 𝑡0 + න 𝑎 𝑥(𝑡0 ሻ + න ℒ0 𝑎 𝑥(𝑠2 ሻ 𝑑𝑠2 + න ℒ 1 𝑎 𝑥 𝑠2 𝑑𝐵(𝑠2 ሻ 𝑑𝑠1
𝑡0 𝑡0 𝑡0
𝑡 𝑠1 𝑠1
+ න 𝑏 𝑥(𝑡0 ሻ + න ℒ 𝑏 𝑥(𝑠2 ሻ 𝑑𝑠2 + න ℒ 1 𝑏 𝑥 𝑠2 𝑑𝐵(𝑠2 ሻ 𝑑𝐵(𝑠1 ሻ
0
𝑡0 𝑡0 𝑡0
𝑡 𝑡
= 𝑥 𝑡0 + න 𝑎 𝑥 𝑡0 𝑑𝑠1 + න 𝑏 𝑥 𝑡0 𝑑𝐵 𝑠1 + 𝑅 Eq. 2.6
𝑡0 𝑡0 9
STOCH-DEQ: ITO-Taylor expansion
𝑡 𝑠1 𝑡 𝑠1
𝑅 = න න ℒ 0 𝑎 𝑥(𝑠2 ሻ 𝑑𝑠1 𝑑𝑠2 + න න ℒ 1 𝑎 𝑥(𝑠2 ሻ 𝑑𝐵(𝑠2 ሻ 𝑑𝑠1
𝑡0 𝑡0 𝑡0 𝑡0
𝑡 𝑠1 𝑡 𝑠1
Eq. 2.7
+ න න ℒ 0 𝑏 𝑥 𝑠2 𝑑𝑠2 𝑑𝐵(𝑠1 ሻ + න න ℒ 1 𝑏 𝑥(𝑠2 ሻ 𝑑𝐵(𝑠2 ሻ𝑑𝐵(𝑠1 ሻ
𝑡0 𝑡0 𝑡0 𝑡0
𝑡 𝑠
Last Remainder term: ℒ 1 𝑏 𝑥(𝑡0 ሻ 𝑡 𝑡1 𝑑𝐵(𝑠2 ሻ𝑑𝐵(𝑠1 ሻ + 𝑂{ }terms
0 0
Eq. 2.8
10
STOCH-DEQ: ITO-Taylor expansion
𝑡 𝑡
𝑥 𝑡 = 𝑥 𝑡0 + 𝑎 𝑥(𝑡0 ሻ න 𝑑𝑠1 + 𝑏 𝑥(𝑡0 ሻ න 𝑑𝐵(𝑠1 ሻ +
𝑡0 𝑡0
𝑡 𝑠1 Eq. 2.9
+ℒ 1 𝑏 𝑥(𝑡0 ሻ න න 𝑑𝐵(𝑠2 ሻ𝑑𝐵(𝑠1 ሻ + 𝑅෨
𝑡0 𝑡0
Comments:
11
STOCH-DEQ: ITO-Taylor expansion
Adding more DI terms from remainder in
𝑡 𝑡
𝑥 𝑡 = 𝑥 𝑡0 + 𝑎 𝑥(𝑡0 ሻ 𝑠𝑑 𝑡1 + 𝑏 𝑥(𝑡0 ሻ 𝑠(𝐵𝑑 𝑡1 ሻ +
0 0
𝑡 𝑠1 Eq. 3.0
+ℒ 1 𝑏 𝑥(𝑡0 ሻ න න 𝑑𝐵(𝑠2 ሻ𝑑𝐵(𝑠1 ሻ + 𝑅෨
𝑡0 𝑡0
We have:
𝑥 𝑡
𝑡 𝑡 𝑡 𝑠1
= 𝑥 𝑡0 + 𝑎 𝑥 𝑡0 න 𝑑𝑠1 + 𝑏 𝑥 𝑡0 න 𝑑𝐵 𝑠1 + ℒ 1 𝑏 𝑥 𝑡0 න න 𝑑𝐵 𝑠2 𝑑𝐵 𝑠1
𝑡0 𝑡0 𝑡0 𝑡0
𝑡 𝑠1 𝑡 𝑠1
+ න න ℒ 0 𝑎 𝑥 𝑠2 𝑑𝑠2 𝑑𝑠1 + න න ℒ 1 𝑎 𝑥 𝑠2 𝑑𝐵 𝑠2 𝑑𝐵 𝑠1
𝑡0 𝑡 0 𝑡0 𝑡0
𝑡 𝑠1
+ න න ℒ 0 𝑏 𝑥 𝑠2 𝑑𝑠2 𝑑𝑠1 + 𝑂 Eq. 3.1
𝑡0 𝑡 0
12
STOCH-DEQ: ITO-Taylor expansion
𝑡 𝑠1 𝑡
න න 𝑑𝐵 𝑠2 𝑑𝐵 𝑠1 = න 𝐵 𝑠1 − 𝐵 𝑡0 𝑑𝐵 𝑠1 4th term in Eq. 3.1
𝑡0 𝑡0 𝑡0
𝑡 𝑡 𝑡
𝑑𝐵2 𝑡 − 𝑑𝑡
= න 𝐵 𝑠1 𝑑𝐵 𝑠1 − න 𝐵 𝑡0 𝑑𝐵 𝑠1 =න − 𝐵 𝑡0 𝐵 𝑡 − 𝐵(𝑡0 ሻ
𝑡0 𝑡0 𝑡0 2
𝐵2
𝑡 − 𝐵(𝑡0 ሻ (𝑡 − 𝑡0 ሻ
= − − 𝐵 𝑡0 𝐵 𝑡 + 𝐵2 𝑡0
2 2
1 2
1
= 𝐵 𝑡 − 𝐵 𝑡0 − 𝑡 − 𝑡0
2 2
𝑡 𝑠1
න න ℒ 0 𝑎 𝑥 𝑠2 𝑑𝑠2 𝑑𝑠1 5th term in Eq. 3.1
𝑡0 𝑡0
𝑡 𝑠1
= න න ℒ 0 𝑎 𝑥 𝑡0
𝑡0 𝑡0
𝑠2 𝑠2 𝑡 𝑠1
+ න ℒ0𝑎 𝑥 𝑠3 𝑑𝑠3 + න ℒ 1 𝑎 𝑥 𝑠3 𝑑𝐵(𝑠3 ሻ൩ 𝑑𝑠2 𝑑𝑠1 = න න ℒ 0 𝑎 𝑥 𝑡0 𝑑𝑠2 𝑑𝑠1
𝑡0 𝑡0 𝑡0 𝑡0
+𝑂 13
STOCH-DEQ: ITO-Taylor expansion
𝑡 𝑠1 𝑡 𝑠1 𝑡
න න ℒ 0 𝑎 𝑥 𝑡0 𝑑𝑠2 𝑑𝑠1 = ℒ 0 𝑎 𝑥 𝑡0 න න 𝑑𝑠2 𝑑𝑠1 = ℒ 0 𝑎 𝑥 𝑡0 න 𝑠1 − 𝑡0 𝑑𝑠1
𝑡0 𝑡0 𝑡0 𝑡0 𝑡0
𝑡 2 − 𝑡02 𝑡 2 − 𝑡02 − 2𝑡𝑡0 + 2𝑡02
= ℒ 0 𝑎 𝑥 𝑡0 − 𝑡0 𝑡 − 𝑡0 = ℒ 0 𝑎 𝑥 𝑡0
2 2
𝑡 − 𝑡0 2
= ℒ 0 𝑎 𝑥 𝑡0
2
𝑡 𝑠1
න න ℒ 1 𝑎 𝑥 𝑠2 𝑑𝐵 𝑠2 𝑑𝑠1 6th term in Eq. 3.1
𝑡0 𝑡0
𝑡 𝑠1 𝑠2 𝑠2
= න න ℒ 1 𝑎 𝑥 𝑡0 + න ℒ 0 𝑎 𝑥 𝑠3 𝑑𝑠3 + න ℒ 1 𝑎 𝑥 𝑠3 𝑑𝐵(𝑠3 ሻ 𝑑𝐵 𝑠2 𝑑𝐵 𝑠1
𝑡0 𝑡 0 𝑡0 𝑡0
𝑡 𝑠1
= න න ℒ 1 𝑎 𝑥 𝑡0 𝑑𝐵 𝑠2 𝑑𝐵 𝑠1 + 𝑂
𝑡0 𝑡 0
14
STOCH-DEQ: ITO-Taylor expansion
𝑡 𝑠1 7th term in Eq. 3.1
න න ℒ 0 𝑏 𝑥 𝑠2 𝑑𝑠2 𝑑𝐵 𝑠1
𝑡0 𝑡0
𝑡 𝑠1 𝑠2 𝑠2
= න න ℒ 0 𝑏 𝑥 𝑡0 + න ℒ 0 𝑏 𝑥 𝑠3 𝑑𝑠3 + න ℒ 1 𝑎 𝑥 𝑠3 𝑑𝐵 𝑠3 𝑑𝑠2 𝑑𝐵 𝑠1
𝑡0 𝑡0 𝑡0 𝑡0
𝑡 𝑠1 0
= 𝑡 𝑡ℒ 𝑏 𝑥 𝑡0 𝑑𝑠2 𝑑𝐵 𝑠1 + 𝑂
0 0
𝑠2
𝑡 𝑠1
න න න ℒ 1 ℒ 1 𝑏 𝑥 𝑠3 𝑑𝐵(𝑠3 ሻ𝑑𝐵(𝑠2 ሻ𝑑𝐵(𝑠1 ሻ
𝑡0 𝑡0
𝑡0
16
STOCH-DEQ: Taylor’s 1.5 strong scheme
• ∆𝑡 = 𝑡𝑖+1 − 𝑡𝑖
• ∆𝑤 = 𝑤𝑖+1 − 𝑤𝑖 = 𝐵 𝑡𝑖+1 − 𝐵 𝑡𝑖
𝑥(𝑡𝑖+1 ሻ
= 𝑥 𝑡𝑖 + 𝑎 𝑥 𝑡𝑖 𝑡 − 𝑡0 + 𝑏 𝑥 𝑡𝑖 𝐵 𝑡 − 𝐵 𝑡0
1
1
+ ℒ 𝑏 𝑥 𝑡0 𝑤 𝑡𝑖+1 − 𝑤(𝑡ሻ 2 − (𝑡𝑖+1 − 𝑡𝑖 ሻ
2
2
𝑡𝑖+1 − 𝑡𝑖
+ℒ 0 𝑎 𝑥 𝑡𝑖 + ℒ 1 𝑎 𝑥(𝑡𝑖 ሻ ∆𝑧 (1ሻ + ℒ 0 𝑏 𝑥(𝑡𝑖 ሻ ∆𝑧 (2ሻ
2
𝑡 𝑠1 𝑠2 1 1
+ 𝑡 𝑡 𝑡ℒ ℒ 𝑏 𝑥 𝑠3 𝑑𝐵(𝑠3 ሻ𝑑𝐵(𝑠2 ሻ𝑑𝐵(𝑠1 ሻ
0 0 0
𝑡 𝑠1
∆z (1ሻ = න න 𝑑𝐵 𝑠2 𝑑𝑠1
𝑡0 𝑡0
𝑡 𝑠1
න න 𝑑𝑠2 𝑑𝐵 𝑠1 = ∆z (2ሻ
𝑡0 𝑡0 17
Euler-Maruyama & Milstein
EM: 𝑥(𝑡𝑖+1 ሻ = 𝑥 𝑡𝑖 + 𝑎 𝑥 𝑡𝑖 ∆𝑡 + 𝑏 𝑥 𝑡𝑖 ∆𝐵 𝑡
Milstein:
𝑥(𝑡𝑖+1 ሻ = 𝑥 𝑡𝑖 + 𝑎 𝑥 𝑡𝑖 𝑡 − 𝑡0 + 𝑏 𝑥 𝑡𝑖 𝐵 𝑡 − 𝐵 𝑡0
1
+ 𝑏 𝑥(𝑡𝑖 ሻ 𝑏 ′ 𝑥(𝑡𝑖 ሻ ∆𝐵 𝑡 2 − (∆𝑡ሻ
2
18
Taylor’s 1.5 strong scheme: MSI’s
𝑡+ℎ
• 𝐼1 = 𝑡 𝑑𝑠 = ℎ
𝑡+ℎ
• 𝐼2 = 𝑡 𝑑𝐵𝑗 𝑠 = 𝐵𝑗 𝑡 + ℎ − 𝐵𝑗 𝑡 = ∆𝐵𝑗 (ℎሻ
1Τ 1Τ
• ∆𝐵𝑗 ℎ = ℎ 2 𝑧𝑗 ; 𝑁 0, ℎ 2
𝑡+ℎ 𝑡
• 𝐼3 = 𝑡 𝐵𝑗 𝑠 𝑑𝐵𝑘 𝑡𝑖−1 𝑠 = σ𝑛𝑖=1 = 𝑠 𝑘𝐵𝑑 𝑠 𝑗𝐵 𝑖 𝑡σ𝑛𝑖−1 𝐵𝑗 𝑡𝑖−1 (𝐵𝑘 𝑡𝑖 −
𝑖−1
𝐵𝑘 (𝑡𝑖−1 ሻ
𝑡+ℎ 𝑠 𝑡+ℎ
• 𝐼4 = 𝑡 𝑡1 𝑑𝐵𝑘 𝑠2 𝑑𝐵𝑗 𝑠1 = 𝑡 𝐵𝑗 𝑠1 − 𝐵𝑗 𝑡 𝑑𝐵𝑗 𝑠1 =
𝑡+ℎ 𝑡+ℎ
=න 𝐵𝑗 𝑠1 𝑑𝐵𝑗 𝑠1 − න 𝐵𝑗 𝑡 𝑑𝐵𝑗 𝑠1
𝑡 𝑡
1 𝑡+ℎ 𝑡+ℎ 𝑡+ℎ
= 𝑡 𝑑𝐵𝑗2 𝑠1 − 𝑑𝑡 − 𝐵𝑗 𝑡 𝑡 𝑑𝐵𝑗 𝑠1 𝑡 𝐵𝑗 𝑡 𝑑𝐵𝑗 𝑠1
2
1 1
= 𝐵𝑗 (𝑡 + ℎ − 𝐵𝑗 (𝑡ሻሻ2 − ℎ = ∆𝐵𝑗 (𝑡ሻ2 − ℎ
2 2
19
Taylor’s 1.5 strong scheme: MSI’s
𝑡+ℎ 𝑠1
• 𝐼5 = 𝑠 𝑗𝐵𝑑 𝑡 𝑡2 𝑑𝑠1
𝑡+ℎ 𝑠1
• 𝐼6 = 𝑠𝑑 𝑡 𝑡2 𝑑𝐵𝑗 (𝑠1 ሻ
𝑡+ℎ 𝑠1 𝑡+ℎ 𝑠1
𝐼5 = න න 𝑑𝐵𝑗 𝑠2 𝑑𝑠1 ; 𝐼6 = න න 𝑑𝑠2 𝑑𝐵𝑗 (𝑠1 ሻ
𝑡 𝑡 𝑡 𝑡
𝑡+ℎ 𝑡+ℎ
𝐼5 + 𝐼6 = 𝑡 𝑑𝑠1 𝑡 𝑑𝐵𝑗 𝑠1 = ℎ ∆𝑡 𝐵𝑗 (ℎሻ (try proving yourself)
𝑡+ℎ
• 𝐸 𝐼5 = 𝑡 𝐸 𝐵𝑗 𝑠1 − 𝐵𝑗 (𝑡ሻ 𝑑𝑠1 = 0
2 2 2
• 𝑉𝐴𝑅(𝐼5 ሻ = 𝐸 𝐼5 − 𝐸(𝐼5 ሻ = 𝐸 𝐼5 =𝐸 ℎ ∆𝐵𝑗 ℎ − 𝐼6 =
2
𝐸 ℎ 2
∆𝐵𝑗 ℎ − 2ℎ ∆𝐵𝑗 ℎ 𝐼6 + 𝐼62
20
Taylor’s 1.5 strong scheme: MSI’s
2
• 𝐸 ∆𝐵𝑗 ℎ =ℎ
𝑡+ℎ 𝑡+ℎ 𝑠1
• 𝐸 ∆𝐵𝑗 ℎ 𝐼6 = 𝐸 𝑡 𝑑𝐵𝑗 𝑠1 𝑡 𝑠𝑑 𝑡2 𝑑𝐵𝑗 (𝑠1 ሻ =
𝑡+ℎ 𝑡+ℎ 𝑠1
𝑡 𝐸 𝑠 𝑗𝐵𝑑 𝑡1 ሻ 𝑠( 𝑘𝐵𝑑 𝑡1 ሻ 𝑑𝑠2 =
𝑡+ℎ 𝑠 2 𝑡+ℎ 𝑠 𝑡+ℎ ℎ2
𝑡 𝑡1 𝑑𝑠2 ∆𝑡 𝐵𝑗 ℎ = 𝑡 𝑡1 𝑑𝑠2 𝑑𝑡 = 𝑠( 𝑡1 − 𝑡ሻ𝑑𝑡 =
2
2 𝑡+ℎ 𝑠 𝑡+ℎ 𝑠
• 𝐸 𝐼6 = 𝐸 𝑡 𝑡1 𝑑𝑠2 𝑑𝐵𝑗 (𝑠1 ሻ 𝑡 𝑡1 𝑑𝑠2 𝑑𝐵𝑗 (𝑠1 ሻ =
𝑡+ℎ 𝑠1 2 2 𝑡+ℎ ℎ3
2 𝑑𝑡
𝑡 𝑠𝑑 𝑡2 ሻ 𝑑𝐵𝑗 𝑠1 = 𝑡 𝑠1 − 𝑡 =
3
ℎ3 ℎ3 ℎ3
• 𝑉𝑎𝑟 𝐼5 = ℎ3 − + =
2 3 3
21
Taylor’s 1.5 strong scheme: MSI’s
• Covariance between ∆𝑡 𝐵𝑗 ℎ 𝑎𝑛𝑑 𝐼5 can be found as,
• 𝑐𝑜𝑣 𝐼5 , ∆𝐵𝑗 ℎ = 𝐸 𝐼5 ∆𝐵𝑗 ℎ = 𝐸 ℎ ∆𝑡 𝐵𝑗 ℎ − 𝐼6 ∆𝑡 𝐵𝑗 (ℎሻ =
2 𝑡+ℎ ℎ2
𝐸 ℎ ∆t 𝐵𝑗 ℎ − 𝐼6 ∆𝑡 𝐵𝑗 (ℎሻ = ℎ2 − 𝑡 𝑠1 − 𝑡 𝑑𝑡 = .
2
𝑡+ℎ 𝑠1 2 ℎ3
Therefore, 𝐼5 = 𝑗𝐵𝑑 𝑡 𝑡 𝑠2 𝑑𝑠1 , has zero mean, variance of 𝜎 = . The correlation
3
ℎ2
between ∆𝑡 𝐵𝑗 ℎ 𝑎𝑛𝑑 𝐼5 , is found as, .
2
𝑡+ℎ 𝑠1
1
𝐸 ∆𝑡 𝐵𝑗 (ℎሻ න න 𝑑𝐵𝑗 𝑠2 𝑑𝑠1 − ℎ ∆𝑡 𝐵𝑗 ℎ
𝑡 𝑡 2
𝑡+ℎ 𝑡+ℎ 𝑠1 𝑡+ℎ 𝑆1
ℎ2 ℎ2
=𝐸 න 𝑑𝐵𝑗 ℎ න න 𝑑𝐵𝑗 𝑠2 𝑑𝑠1 − = න න 𝑑𝑠2 𝑑𝑡 −
𝑡 𝑡 𝑡 2 𝑡 𝑡 2
𝑡+ℎ
ℎ2
=න 𝑠1 − 𝑡 𝑑𝑡 − =0
𝑡 2
22
Taylor’s 1.5 strong scheme: MSI’s
• Immediately one can calculate that,
2
𝑡+ℎ 𝑠1
1 ℎ3
𝐸 න න 𝑑𝐵𝑗 𝑠2 𝑑𝑠1 − ℎ ∆𝑡 𝐵𝑗 ℎ =
𝑡 𝑡 2 12
𝑡+ℎ 𝑠1 1 ℎ3
• Then one write 𝑉𝐴𝑅 𝑗𝐵𝑑 𝑡 𝑡 𝑠2 𝑑𝑠1 − ℎ ∆𝑡 𝐵𝑗 ℎ =
2 12
1
• Hence, it is true for first random variable 𝑈1 ~𝑁(0,1ሻ that, ∆𝑡 𝐵𝑗 ℎ = ℎ 𝑈1 2
23
Taylor’s 1.5 strong scheme: MSI’s
• At this point our main was to simulate the random variable ∆𝑍,
𝑡+ℎ 𝑠1 𝑈2 3 ℎ 𝑈2 3 𝑈1 3
• 𝐼5 = 𝑗𝐵𝑑 𝑡 𝑡 𝑠2 𝑑𝑠1 = ℎ2 + ∆𝐵 ℎ = ℎ2 + ℎ2 =
12 2 𝑡 𝑗 12 2
1
~ ∆𝑡 𝐵𝑗 ℎ = ℎ 𝑈1 2
3
𝑡+ℎ 𝑠 ℎ2 𝑈2
• 𝑡 𝑡1 𝑑𝐵𝑗 𝑠2 𝑑𝑠1 = 2
𝑈1 +
3
With the characteristics of ΔW and ΔZ, one can simulate the correlated random pairs
as follows,
12 12
W 3
0
U1 W
h 0
3
U1
2
3
Z 2 2 U
3
h h 2 Z 2 U 2
2 2 3 2 2 3
U 0 1 0
where, 1 N
U 2 0 0 1
OR, One can simply ignore the derivation of 𝐼6 and can express in terms of 𝐼5 as,
𝐼6 = ℎ ∆t 𝐵𝑗 ℎ − 𝐼5 ≅ ∆𝑡∆𝐵𝑡 − ∆𝑍 24
Taylor’s 1.5 strong scheme
𝜕2
• Recall: ℒ0 = 𝑎 𝑥(𝑠ሻ
𝜕
𝜕𝑥
1 2
+ 𝑏
2
𝑥 𝑠
𝜕𝑥 2
𝑎𝑛𝑑 ℒ 1 =
𝜕
𝑏 𝑥(𝑠ሻ
𝜕𝑥
Now we can write each of the derivative quantities in the form of
operators as:
• ℒ1 𝑏 = 𝑏 𝑥(𝑠ሻ 𝑏 ′ 𝑥(𝑠ሻ
• ℒ1 𝑎 = 𝑏 𝑥(𝑠ሻ 𝑎′ 𝑥(𝑠ሻ
1
• ℒ 0 𝑎 = 𝑎 𝑥(𝑡ሻ 𝑎′ 𝑥(𝑡ሻ + 𝑏 2 𝑥 𝑡 𝑎′′ 𝑥(𝑡ሻ
2
1
• ℒ 0 𝑏 = 𝑎 𝑥(𝑡ሻ 𝑏 ′ 𝑥(𝑡ሻ + 𝑏2 𝑥 𝑡 𝑏 ′′ 𝑥(𝑡ሻ
2
𝜕 𝜕
• ℒ1 ℒ1 𝑏 = 𝑏 𝑥(𝑡ሻ {[𝑏 𝑥 𝑡 𝑏𝑥 𝑡
𝜕𝑥 𝜕𝑥
= 𝑏 𝑥(𝑡ሻ {𝑏 𝑥 𝑡 𝑏 ′′ 𝑥(𝑡ሻ + (𝑏 ′ 𝑥(𝑡ሻ ሻ2 }
25
Taylor’s 1.5 strong scheme
𝑥(𝑡𝑖+1 ሻ = 𝑥 𝑡𝑖 + 𝑎 𝑥 𝑡𝑖 ∆𝑡 + 𝑏 𝑥 𝑡𝑖 ∆𝐵 𝑡 +
1
𝑏 𝑥(𝑡𝑖 ሻ 𝑏 ′ 𝑥(𝑡𝑖 ሻ ∆𝐵 𝑡 2 − (∆𝑡ሻ + (𝑎 𝑥 𝑡𝑖 𝑎′ 𝑥 𝑡𝑖 +
2
∆𝑡 2
𝑏2 𝑥 𝑡𝑖 𝑎′′𝑥 𝑡𝑖 ሻ +𝑏 𝑥 𝑠 𝑎′ 𝑥 𝑠 ∆𝑧 +
2
′ 1 2
{𝑎 𝑥(𝑡ሻ 𝑏 𝑥(𝑡ሻ + 𝑏 𝑥 𝑡 𝑏 ′′ 𝑥(𝑡ሻ } (∆𝑊∆𝑡- ∆𝑍ሻ+
2
1
+ 𝑏 𝑥 𝑡 {𝑏 𝑥 𝑡 𝑏 ′′ 𝑥(𝑡ሻ +𝑏 2 𝑥 𝑡𝑖 } (∆𝑊 2 /3- ∆𝑡ሻ(∆𝑊)
2
𝑠2
𝑡 𝑠1
න න න ℒ 1 ℒ1 𝑏 𝑥 𝑠3 𝑑𝐵(𝑠3 ሻ𝑑𝐵(𝑠2 ሻ𝑑𝐵(𝑠1 ሻ
𝑡0 𝑡0
𝑡0
Upon simplifying
1 ∆𝑡 2
𝑥(𝑡𝑖+1 ሻ = 𝑥 𝑡𝑖 + 𝑎∆𝑡 + 𝑏∆𝑊 + 𝑏𝑏 ′ ∆𝐵 2 − ∆𝑡 + 𝑎𝑎′ + 𝑏 2 𝑎′′ +
2 2
1 1
𝑏𝑎′ ∆𝑧 + {𝑎𝑏′ + 𝑏 2 𝑏′′ } (∆𝑊∆𝑡- ∆𝑍ሻ+ 𝑏 {𝑏𝑏 ′′ +𝑏 2 } (∆𝑊 2 /3- ∆𝑡ሻ(∆𝑊)
2 2 26
Taylor’s 1.5 strong scheme
Final expression
𝑌𝑘 𝑛 = 𝑥𝑘 (𝑡𝑛 ሻ
1
𝑌𝑘 𝑛 + 1 = 𝑌𝑘 𝑛 + 𝑎𝑘 (n) ∆𝑡+ 𝑏𝑘 (n)∆𝑊 + ℒ1 𝑏𝑘 (n) {(∆𝑊 2 ሻ−∆𝑡}
2
1 0
+ ℒ1 𝑎𝑘 (n) {∆𝑧}+ ℒ 0 𝑏𝑘 (n) {∆𝑊∆𝑡−∆𝑧}+ ℒ 𝑎𝑘 (n) (∆𝑡 2 ሻ +
2
1 1 1 1
+ ℒ ℒ 𝑏𝑘 (n) { (∆𝑊 2 ሻ−∆𝑡} ∆𝑊
2 3
27
Example: Linear 2nd order Stochastic Dynamics
𝑚𝑥ሷ + 𝑐 𝑥ሶ + 𝑘𝑥 = 𝑃(𝑡ሻ 𝑃(𝑡ሻ is WGN
𝑐 𝑘 1
𝑥ሷ + 𝑥ሶ + 𝑥 = 𝑃 𝑡 = 𝑓 𝑡 ⇒ 𝑥ሷ + 2𝜂𝜔𝑥ሶ + 𝜔2 𝑥 = 𝑓 𝑡
𝑚 𝑚 𝑚
𝑎1 𝑡 = 𝑥2 𝑡 , 𝑏1 𝑡 = 0
𝑏2 𝑡 = 1
𝑎2 𝑡 = −𝜔2 𝑥1 − 2𝜂𝜔𝑥2
= −𝜔2 𝑥1 − 2𝜂𝜔𝑥2
= −𝜔2 𝑥1 (𝑡ሻ − 2𝜂𝜔𝑥2 (𝑡ሻ 28
Example: Linear 2nd order Dynamics
2
𝜕 1 𝜕
ℒ 0 𝑎1 𝑛 = 𝑎2 + 𝑏22 2 × 𝑥2 (𝑛ሻ = 𝑎2 𝑛
𝜕𝑥2 2 𝜕𝑥2
2
𝜕 1 𝜕
ℒ 0 𝑎2 𝑛 = 𝑎𝑘 + 𝑏𝑘2 2 −𝜔2 𝑥1 (𝑛ሻ − 2𝜂𝜔𝑥2 (𝑛ሻ
𝜕𝑥𝑘 2 𝜕𝑥𝑘
𝜕 1 2 𝜕2 𝜕 1 𝜕 2
= 𝑎1 + 𝑏1 2 −𝜔2 𝑥1 (𝑛ሻ + 𝑎2 + 𝑏22 2 −2𝜂𝜔𝑥2 (𝑛ሻ
𝜕𝑥1 2 𝜕𝑥1 𝜕𝑥2 2 𝜕𝑥2
= −𝑎1 𝜔2 − 𝑎2 2𝜂𝜔
ℒ 0 𝑎2 𝑛 = 𝑎1 𝑛 −𝜔2 + 𝑎2 𝑛 −2𝜂𝜔2
29
Example: Linear 2nd order Dynamics
𝜕𝑥2
ℒ 1 𝑎1 𝑛 = 𝑏2 𝑛 =𝑏 𝑛 =𝑏=𝜎
𝜕𝑥2
𝜕
ℒ 1 𝑎2 𝑛 = 𝑏𝑘 𝑛 (𝜔2 𝑥1 − 2𝜂𝜔𝑥2 ሻ;
𝜕𝑥𝑘
𝜕 𝜕
ℒ 1 𝑎2 𝑛 = 𝑏1 (−𝜔2 𝑥1 ሻ + 𝑏2 (−2𝜂𝜔𝑥2 ሻ since 𝑏1 = 0
𝜕𝑥1 𝜕𝑥2
ℒ 1 𝑎2 𝑛 = 𝑏2 −2𝜂𝜔 = 𝜎 −2𝜂𝜔
𝜕𝑏1 𝜕 1 2 𝜕2
ℒ 1 𝑏1 𝑛 = 𝑏1 𝑛 =0 ℒ 0 𝑏1 𝑛 = 𝑎1 𝜕𝑥 + 𝑏 x 0=0
𝜕𝑥1 1 2 1 𝜕𝑥12
𝜕𝑏2 𝜕 1 2 𝜕2
ℒ 1 𝑏2 𝑛 = 𝑏2 𝑛 =0 ℒ 0 𝑏2 𝑛 = 𝑎2 𝜕𝑥 + 𝑏 x 0=0
𝜕𝑥2 1 2 2 𝜕𝑥12
30
Example: Linear 2nd order Dynamics
𝑌𝑘 𝑛 = 𝑥𝑘 (𝑡𝑛 ሻ
1
𝑌1 𝑛 + 1 = 𝑌1 𝑛 + 𝑎1 (n) ∆𝑡 + 𝑏1 (n) ∆𝑊 + ℒ 1 𝑏1 (n) {(∆𝑊 2 ሻ−∆𝑡}
2
1
+ ℒ 1 𝑎1 (n) {∆𝑧}+ ℒ 0 𝑏1 (n) {∆𝑊∆𝑡−∆𝑧}+ ℒ 0 𝑎1 (n) (∆𝑡 2 ሻ +
2
1 1 1 1
+ ℒ ℒ 𝑏1 (n) { (∆𝑊 2 ሻ−∆𝑡} ∆𝑊
2 3
𝑎1 𝑛 = 𝑋2 𝑛 = 𝑌2 𝑛
ℒ 0 𝑎1 𝑛 = 𝑎2 𝑛 ቑ 𝑏1 𝑛 = 0; ℒ 1 𝑏1 𝑛 = 0; ℒ 0 𝑏1 𝑛 = 0
ℒ 1 𝑎1 𝑛 = 𝜎
1
𝑌1 𝑛 + 1 = 𝑌1 𝑛 + 𝑎1 (n) ∆𝑡 + ℒ 1 𝑎1 (n) {∆𝑧}+ 2 ℒ 0 𝑎1 (n) (∆𝑡 2 ሻ
1
= 𝑌1 𝑛 + 𝑎1 (n) ∆𝑡 + 𝑏{∆𝑧}+ 2 𝑎2 (n) (∆𝑡 2 ሻ
31
Example: Linear 2nd order Dynamics
𝑎2 𝑛 = −𝜔2 𝑥1 − 2𝜂𝜔𝑥2
ℒ 0 𝑎2 𝑛 = 𝑎1 𝑛 −𝜔2 + 𝑎2 𝑛 −2𝜂𝜔2 ቑ 𝑏2 𝑛 = 1; ℒ 0 𝑏2 𝑛 = 0; ℒ 0 𝑏1 𝑛 = 0
ℒ 1 𝑎2 𝑛 = 𝜎 −2𝜂𝜔
1
𝑌2 𝑛 + 1 = 𝑌2 𝑛 + 𝑎2 (n) ∆𝑡 + 𝑏2 𝑛 ∆W+ ℒ 1 𝑎2 𝑛 {∆𝑧}+ 2 ℒ 0 𝑎1 (nሻ(∆𝑡 2 ሻ
32