Multilevel Monte Carlo method for ergodic SDEs without contractivity

DOI10.1016/J.JMAA.2018.12.032zbMath1417.65022arXiv1803.05932OpenAlexW2963575831WikidataQ128506539 ScholiaQ128506539MaRDI QIDQ2633846

Wei Fang, Michael B. Giles

Publication date: 10 May 2019

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.05932

zbMATH Keywords

strong convergenceinvariant measurechange of measureSDEEuler-MaruyamaMLMC

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (8)

Improved bounds for discretization of Langevin diffusions: near-optimal rates without convexity ⋮ Nonasymptotic bounds for sampling algorithms without log-concavity ⋮ A Wasserstein coupled particle filter for multilevel estimation ⋮ Adaptive importance sampling for multilevel Monte Carlo Euler method ⋮ Analysis of a Class of Multilevel Markov Chain Monte Carlo Algorithms Based on Independent Metropolis–Hastings ⋮ Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift ⋮ Importance Sampling for Pathwise Sensitivity of Stochastic Chaotic Systems ⋮ Multi-level Monte Carlo methods for the approximation of invariant measures of stochastic differential equations

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