Randomized derivative-free Milstein algorithm for efficient approximation of solutions of SDEs under noisy information

DOI10.1016/J.CAM.2020.113112MaRDI QIDQ2199772zbMATH OpenOpenAlexFDO

Authors Paweł M. Morkisz, Paweł Przybyłowicz

Publication date 14 September 2020

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1912.06865

zbMATH Keywords

\(n\)th minimal erroroptimalitypointwise approximationrandomized Milstein algorithmSDEsstandard noisy information

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)

Abstract: We deal with pointwise approximation of solutions of scalar stochastic differential equations in the presence of informational noise about underlying drift and diffusion coefficients. We define a randomized derivative-free version of Milstein algorithm $$ and investigate its error. We also study lower bounds on the error of an arbitrary algorithm. It turns out that in some case the scheme $$ is the optimal one. Finally, in order to test the algorithm $$ in practice, we report performed numerical experiments.

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Cited in

(15)

• A simplified Milstein scheme for SPDEs with multiplicative noise
• Randomized Runge-Kutta method -- stability and convergence under inexact information
• On the randomized Euler schemes for ODEs under inexact information
• A randomized Milstein method for stochastic differential equations with non-differentiable drift coefficients
• Optimal pointwise approximation of SDE's from inexact information
• Efficient approximation of SDEs driven by countably dimensional Wiener process and Poisson random measure
• A derivative-free Milstein type approximation method for SPDEs covering the non-commutative noise case
• Euler scheme for approximation of solution of nonlinear ODEs under inexact information
• Randomized Milstein algorithm for approximation of solutions of jump-diffusion SDEs
• On approximation of solutions of stochastic delay differential equations via randomized Euler scheme
• Adaptive step-size control for global approximation of SDEs driven by countably dimensional Wiener process
• An explicit Milstein-type scheme for interacting particle systems and McKean-Vlasov SDEs with common noise and non-differentiable drift coefficients
• On the randomized Euler algorithm under inexact information
• First- and half-order schemes for regime switching stochastic differential equation with non-differentiable drift coefficient
• Error of randomized Milstein scheme for scalar SDEs with noisy information about coefficients and Wiener process

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