Multilevel estimation of expected exit times and other functionals of stopped diffusions

DOI10.1137/17M1116660MaRDI QIDQ4611523zbMATH OpenOpenAlexWikidataFDO

Authors Mike Giles, Francisco Bernal

Publication date 21 January 2019

Published in SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1710.07492

zbMATH Keywords

multilevelMonte Carlonumerical analysisstochasticstopped diffusions

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: This paper proposes and analyses a new multilevel Monte Carlo method for the estimation of mean exit times for multi-dimensional Brownian diffusions, and associated functionals which correspond to solutions to high-dimensional parabolic PDEs through the Feynman-Kac formula. In particular, it is proved that the complexity to achieve an $varepsilon$ root-mean-square error is $O(varepsilo{n}^{-2},|!logvarepsilon{|}^3)$.

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Cited in

(12)

• Multilevel Monte Carlo method for path-dependent barrier interest rate derivatives
• MLMC techniques for discontinuous functions
• Adaptive Monte Carlo Algorithms for Stopped Diffusion
• First exit time probability for multidimensional diffusions: A PDE-based approach
• An explicit substructuring method for overlapping domain decomposition based on stochastic calculus
• Higher-order adaptive methods for exit times of Itô diffusions
• Mean exit times and the multilevel Monte Carlo method
• A hybrid probabilistic domain decomposition algorithm suited for very large-scale elliptic PDEs
• Multilevel Monte Carlo method for ergodic SDEs without contractivity
• Iterative schemes for probabilistic domain decomposition
• An implementation of Milstein's method for general bounded diffusions
• A multigrid-like algorithm for probabilistic domain decomposition

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