Multilevel particle filters for Lévy-driven stochastic differential equations

DOI10.1007/S11222-018-9837-ZMaRDI QIDQ2329798zbMATH OpenOpenAlexFDO

Authors Ajay Jasra, K. J. H. Law, Prince Peprah Osei

Publication date 18 October 2019

Published in Statistics and Computing (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1804.04444

zbMATH Keywords

barrier optionsLévy processesLévy-driven SDEmultilevel particle filtersparticle filters

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Abstract: We develop algorithms for computing expectations of the laws of models associated to stochastic differential equations (SDEs) driven by pure L'evy processes. We consider filtering such processes and well as pricing of path dependent options. We propose a multilevel particle filter (MLPF) to address the computational issues involved in solving these continuum problems. We show via numerical simulations and theoretical results that under suitable assumptions of the discretization of the underlying driving L'evy proccess, our proposed method achieves optimal convergence rates. The cost to obtain MSE $O(epsilo{n}^2)$ scales like $O(epsilo{n}^{-2})$ for our method, as compared with the standard particle filter $O(epsilo{n}^{-3})$.

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Cited in

(13)

• Unbiased parameter inference for a class of partially observed Lévy-process models
• Multilevel particle filters for the non-linear filtering problem in continuous time
• Multilevel Monte Carlo for smoothing via transport methods
• Multilevel Particle Filters
• Unbiased inference for discretely observed hidden Markov model diffusions
• Advanced Multilevel Monte Carlo Methods
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• Statistical inference for stochastic differential equations
• Monte Carlo method in stock trading research based on accelerated diffusion theory with jumps
• Antithetic multilevel methods for elliptic and hypoelliptic diffusions with applications
• Antithetic multilevel particle filters

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