Stochastic Approximation Finite Element method: analytical formulas for multidimensional diffusion process.

Summary We derive an analytical weak approximation of a multidimensional diffusion process as coefficients or time are small. Our methodology combines the use of Gaussian proxys to approximate the law of the diffusion and a Finite Element interpolation of the terminal function applied to the diffusion. We call this method Stochastic Approximation Finite Element (SAFE for short) method. We provide error bounds of our global approximation depending on the diffusion process coefficients, the time horizon and the regularity of the terminal function. Then we give estimates of the computational cost of our algorithm. This shows an improved efficiency compared to Monte-Carlo methods in small and medium dimensions (up to 10), which is confirmed by numerical experiments.