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

Monte Carlomultilevelnumerical analysisstochasticstopped diffusions

Mathematics Subject Classification ID

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

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

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