Quasi-Monte Carlo for SDE Simulation: Error Analysis and Dimensionality Reduction (Q7269986)
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Quasi-Monte Carlo for SDE Simulation: Error Analysis and Dimensionality Reduction (English)
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23 June 2026
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math.NA
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Du Ouyang
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Zexin Pan
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Zhijian He
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We develop a Quasi-Monte Carlo (QMC) method for stochastic differential equations, analyzing its error and proposing an efficient Multilevel Stochastic Time Grid (MSTG) method to reduce dimensionality, achieving super-exponential convergence rates with significantly fewer discretization steps than the traditional Euler-Maruyama scheme.
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Quasi-Monte Carlo
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Stochastic Differential Equations
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Error Analysis
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Dimensionality Reduction
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Truncation error
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Curse of dimensionality
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Discretization
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Quasi-Monte Carlo method
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Convergence (economics)
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Rate of convergence
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Dimensionality reduction
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Monte Carlo method
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Dimension (graph theory)
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Reduction (mathematics)
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