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

DOI10.1515/MCMA.2007.003MaRDI QIDQ5295323zbMATH OpenFDO

Authors 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

barrier optionBrownian bridgeBrownian diffusion processEuler-Maruyama schemelookback optionMonte Carlo simulationsmulti-step Richardson-Romberg extrapolation methodnumerical experimentsVandermonde determinantweak time discretization error

Mathematics Subject Classification ID

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

Abstract: We propose a multi-step Richardson-Romberg extrapolation method for the computation of expectations $Ef(X_{{}_T})$ of a diffusion $(X_t{)}_{tin[0,T]}$ when the weak time discretization error induced by the Euler scheme admits an expansion at an order $Rge2$. The complexity of the estimator grows as $R^2$ (instead of $2^R$) and its variance is asymptotically controlled by considering some consistent Brownian increments in the underlying Euler schemes. Some Monte carlo simulations carried with path-dependent options (lookback, barriers) which support the conjecture that their weak time discretization error also admits an expansion (in a different scale). Then an appropriate Richardson-Romberg extrapolation seems to outperform the Euler scheme with Brownian bridge.

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Cites work

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

Cited in

(14)

• Weighted multilevel Langevin simulation of invariant measures
• A generic construction for high order approximation schemes of semigroups using random grids
• New weak error bounds and expansions for optimal quantization
• Multilevel Richardson-Romberg extrapolation
• A mixed-step algorithm for the approximation of the stationary regime of a diffusion
• Statistical Romberg extrapolation: a new variance reduction method and applications to option pricing
• Recent advances in various fields of numerical probability
• Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators
• Estimateur de Richardson à pas variable
• A multi-step Richardson-Romberg extrapolation method for stochastic approximation
• Fast hybrid schemes for fractional Riccati equations (rough is not so tough)
• On the effectiveness of Richardson extrapolation in data science
• Importance sampling for pathwise sensitivity of stochastic chaotic systems
• Invariant measure of duplicated diffusions and application to Richardson-Romberg extrapolation

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