Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations

DOI10.1007/978-3-319-08159-5_6MaRDI QIDQ5256556zbMATH OpenOpenAlexFDO

Authors Martin Altmayer, Steffen Dereich, Sangmeng Li, Thomas Müller-Gronbach, A. Neuenkirch, Klaus Ritter, Larisa Yaroslavtseva

Publication date 18 June 2015

Published in Extraction of Quantifiable Information from Complex Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-08159-5_6

zbMATH Keywords

central limit theoremcomplexity analysisconstructive quantizationerror estimateHeston modelMalliavin calculus-based payoff smoothingmultilevel algorithmsmultilevel Monte Carlo algorithmquadrature formulas

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited in

(11)

• How complex is a random picture?
• Random bit multilevel algorithms for stochastic differential equations
• A local refinement strategy for constructive quantization of scalar SDEs
• An adaptive random bit multilevel algorithm for SDEs
• Quadratic Optimal Functional Quantization of Stochastic Processes and Numerical Applications
• On the complexity of computing quadrature formulas for marginal distributions of SDEs
• Deterministic quadrature formulas for SDEs based on simplified weak Itô-Taylor steps
• On the complexity of computing quadrature formulas for SDEs
• \texttt{TRIQS/SOM}: implementation of the stochastic optimization method for analytic continuation
• Learning the random variables in Monte Carlo simulations with stochastic gradient descent: Machine learning for parametric PDEs and financial derivative pricing
• Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction

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