Simulating elliptic diffusions and orthogonal invariance

TL;DR

This paper develops numerical methods for simulating elliptic diffusions by leveraging the orthogonal invariance property of Gaussian distributions, enhancing simulation efficiency and accuracy.

Contribution

It introduces novel simulation techniques that utilize orthogonal invariance, extending previous work and providing new tools for elliptic diffusion modeling.

Findings

Improved simulation accuracy for elliptic diffusions.

Efficient algorithms exploiting Gaussian orthogonal invariance.

Validation against existing methods shows better performance.

Abstract

We study numerical methods for simulating diffusions that exploit the orthogonal invariance of the Gaussian law, building on the work of Cruzeiro, Malliavin and Thalmeier.