High-Order Spectral Method of Density Estimation for Stochastic Differential Equation Driven by Multivariate Gaussian Random Variables

<div>The random function <span class="nowrap"><svg height="13.1353pt" id="M127" style="vertical-align:-3.429399pt" version="1.1" viewbox="-0.0498162 -9.7059 43.593 13.1353" width="43.593pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M619 670C619 686 593 712 555 712S459 686 410 634S335 504 320 430H250L219 400L222 388H312L258 73C223 -133 201 -166 187 -180C175 -191 158 -199 140 -199C123 -199 88 -188 74 -172C68 -166 63 -164 54 -171C38 -185 23 -201 23 -215C23 -236 60 -261 93 -261C122 -261 161 -247 207 -200C268 -138 300 -71 337 94C365 220 376 277 394 387L501 399L521 430H401C432 623 464 665 501 665C524 665 544 651 567 627C577 617 583 618 592 625C601 631 619 651 619 670Z"></path></g><g transform="matrix(.013,0,0,-0.013,8.352,0)"><path d="M300 -147C201 -63 143 98 143 270S200 602 300 686L282 710C136 610 70 450 70 271V270C70 89 136 -72 282 -170L300 -147Z"></path></g><g transform="matrix(.013,0,0,-0.013,12.85,0)"><path d="M425 682C425 693 422 699 407 699C369 699 308 677 260 646C213 651 191 674 191 701C191 715 195 726 200 734L183 740C153 730 118 709 118 681C118 644 163 619 218 615C168 582 115 534 115 463C115 418 147 382 180 369C102 329 23 261 23 163C23 74 74 38 158 14C183 7 201 2 221 -2C279 -15 290 -33 290 -58C290 -94 251 -145 230 -169L252 -189C280 -171 367 -103 367 -25C367 20 333 51 266 68C245 73 218 80 191 89C139 106 107 135 107 192C107 261 161 329 221 355C248 350 281 347 314 347C330 347 370 388 370 406C370 418 366 422 352 422C321 422 280 413 255 407C218 413 192 448 192 493C192 544 229 588 266 610C309 610 354 615 376 623C397 631 425 651 425 682Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,18.349,3.132)"><path d="M389 0V32C297 38 291 46 291 118V635C234 613 175 595 109 583V556L161 554C203 552 207 547 207 497V118C207 46 201 38 110 32V0H389Z"></path></g><g transform="matrix(.013,0,0,-0.013,23.296,0)"><path d="M95 130C70 130 46 113 46 88C46 72 54 64 59 64C93 55 121 33 121 -3C121 -41 93 -68 44 -88L55 -117C117 -98 186 -56 186 22C186 91 131 130 95 130Z"></path></g><g transform="matrix(.013,0,0,-0.013,28.439,0)"><path d="M425 682C425 693 422 699 407 699C369 699 308 677 260 646C213 651 191 674 191 701C191 715 195 726 200 734L183 740C153 730 118 709 118 681C118 644 163 619 218 615C168 582 115 534 115 463C115 418 147 382 180 369C102 329 23 261 23 163C23 74 74 38 158 14C183 7 201 2 221 -2C279 -15 290 -33 290 -58C290 -94 251 -145 230 -169L252 -189C280 -171 367 -103 367 -25C367 20 333 51 266 68C245 73 218 80 191 89C139 106 107 135 107 192C107 261 161 329 221 355C248 350 281 347 314 347C330 347 370 388 370 406C370 418 366 422 352 422C321 422 280 413 255 407C218 413 192 448 192 493C192 544 229 588 266 610C309 610 354 615 376 623C397 631 425 651 425 682Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,33.938,3.132)"><path d="M414 144C384 79 371 75 317 75H135L276 221C367 316 408 376 408 465C408 570 327 635 237 635C179 635 131 609 100 575L42 494L67 471C94 510 138 565 205 565C277 565 321 517 321 435C321 348 258 270 195 195C146 137 88 81 33 26V0H411C423 44 433 88 446 135L414 144Z"></path></g><g transform="matrix(.013,0,0,-0.013,38.884,0)"><path d="M275 270C275 450 212 609 64 710L45 686C145 604 203 442 203 270S147 -63 45 -147L64 -170C213 -68 275 89 275 270Z"></path></g></svg>:</span> the exact mean, the approximate mean by Monte-Carlo simulation and error between them (the first row); the exact variance, the approximate variance by Monte-Carlo simulation and error between them (the second row).</div>

Advances in Mathematical Physics

tab4

Table 4

Table 4: High-Order Spectral Method of Density Estimation for Stochastic Differential Equation Driven by Multivariate Gaussian Random Variables 