Efficient almost-exact Lévy area sampling
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Publication:2453869
DOI10.1016/J.SPL.2014.01.022zbMATH Open1296.60180arXiv1107.0151OpenAlexW2059031972MaRDI QIDQ2453869FDOQ2453869
Authors: Simon J. A. Malham, Anke Wiese 
Publication date: 11 June 2014
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Abstract: We present a new method for sampling the Levy area for a two-dimensional Wiener process conditioned on its endpoints. An efficient sampler for the Levy area is required to implement a strong Milstein numerical scheme to approximate the solution of a stochastic differential equation driven by a two-dimensional Wiener process whose diffusion vector fields do not commute. Our method is simple and complementary to those of Gaines-Lyons and Wiktorsson, and amenable to quasi-Monte--Carlo implementation. It is based on representing the Levy area by an infinite weighted sum of independent Logistic random variables. We use Chebychev polynomials to approximate the inverse distribution function of sums of independent Logistic random variables in three characteristic regimes. The error is controlled by the degree of the polynomials, we set the error to be uniformly 10^(-12). We thus establish a strong almost-exact Levy area sampling method. The complexity of our method is square logarithmic. We indicate how our method can contribute to efficient sampling in higher dimensions.
Full work available at URL: https://arxiv.org/abs/1107.0151
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- On the implementation of multilevel Monte Carlo simulation of the stochastic volatility and interest rate model using multi-GPU clusters
- Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE
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