An efficient weak Euler-Maruyama type approximation scheme of very high dimensional SDEs by orthogonal random variables

Jirô Akahori, Masahiro Kinuya, Takashi Sawai +1

We will introduce Euler-Maruyama approximations given by an orthogonal system in $L^2[0,1]$ for high dimensional SDEs, which could be finite dimensional approximations of SPDEs.…