An Adaptive Random Bit Multilevel Algorithm for SDEs

DOI10.1515/9783110635461-002MaRDI QIDQ6314654arXivFDO

Authors Mike Giles, Mario Hefter, Lukas Mayer, Klaus Ritter

Publication date 26 February 2019

Published in arXiv

Full work available at URL https://doi.org/10.1515/9783110635461-002

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)

arXiv classification

math.NA

Abstract: We study the approximation of expectations $operatornameE(f(X))$ for solutions $X$ of stochastic differential equations and functionals $f$ on the path space by means of Monte Carlo algorithms that only use random bits instead of random numbers. We construct an adaptive random bit multilevel algorithm, which is based on the Euler scheme, the L'evy-Ciesielski representation of the Brownian motion, and asymptotically optimal random bit approximations of the standard normal distribution. We numerically compare this algorithm with the adaptive classical multilevel Euler algorithm for a geometric Brownian motion, an Ornstein-Uhlenbeck process, and a Cox-Ingersoll-Ross process.

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