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

DOI10.1016/J.CAM.2020.113112zbMATH Open1503.65018arXiv1912.06865OpenAlexW3044441106MaRDI QIDQ2199772FDOQ2199772

Paweł Przybyłowicz, Paweł M. Morkisz

Publication date: 14 September 2020

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

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.

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

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zbMATH Keywords

optimalitypointwise approximation\(n\)th minimal errorSDEsrandomized Milstein algorithmstandard noisy information

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited In (11)

• A simplified Milstein scheme for SPDEs with multiplicative noise
• Adaptive step-size control for global approximation of SDEs driven by countably dimensional Wiener process
• A randomized Milstein method for stochastic differential equations with non-differentiable drift coefficients
• An explicit Milstein-type scheme for interacting particle systems and McKean-Vlasov SDEs with common noise and non-differentiable drift coefficients
• 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 Runge-Kutta method -- stability and convergence under inexact information
• Efficient Approximation of SDEs Driven by Countably Dimensional Wiener Process and Poisson Random Measure
• On the randomized Euler schemes for 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

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