Multi-step Richardson-Romberg Extrapolation: Remarks on Variance Control and Complexity

DOI10.1515/MCMA.2007.003zbMath1119.65004arXivmath/0612523MaRDI QIDQ5295323

Gilles Pagès

Publication date: 27 July 2007

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0612523

zbMATH Keywords

numerical experimentsMonte Carlo simulationsBrownian bridgeVandermonde determinantlookback optionbarrier optionEuler-Maruyama schemeBrownian diffusion processmulti-step Richardson-Romberg extrapolation methodweak time discretization error

Mathematics Subject Classification ID

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 (11)

Weighted multilevel Langevin simulation of invariant measures ⋮ Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators ⋮ Invariant measure of duplicated diffusions and application to Richardson-Romberg extrapolation ⋮ A mixed-step algorithm for the approximation of the stationary regime of a diffusion ⋮ A multi-step Richardson-Romberg extrapolation method for stochastic approximation ⋮ Importance Sampling for Pathwise Sensitivity of Stochastic Chaotic Systems ⋮ Recent advances in various fields of numerical probability ⋮ New weak error bounds and expansions for optimal quantization ⋮ A generic construction for high order approximation schemes of semigroups using random grids ⋮ Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough) ⋮ On the Effectiveness of Richardson Extrapolation in Data Science

Cites Work

• The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
• Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme
• The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
• Variance Reduction Methods for Simulation of Densities on Wiener Space
• Adaptative Monte Carlo Method, A Variance Reduction Technique
• Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control
• Expansion of the global error for numerical schemes solving stochastic differential equations

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