Multilevel Monte Carlo for Lévy-driven SDEs: central limit theorems for adaptive Euler schemes

DOI10.1214/14-AAP1087zbMATH Open1338.65004arXiv1602.00548OpenAlexW2230749028MaRDI QIDQ259571FDOQ259571

Steffen Dereich, Sangmeng Li

Publication date: 11 March 2016

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: In this article, we consider multilevel Monte Carlo for the numerical computation of expectations for stochastic differential equations driven by L'{e}vy processes. The underlying numerical schemes are based on jump-adapted Euler schemes. We prove stable convergence of an idealised scheme. Further, we deduce limit theorems for certain classes of functionals depending on the whole trajectory of the process. In particular, we allow dependence on marginals, integral averages and the supremum of the process. The idealised scheme is related to two practically implementable schemes and corresponding central limit theorems are given. In all cases, we obtain errors of order $N^{-1/2}(logN{)}^{1/2}$ in the computational time $N$ which is the same order as obtained in the classical set-up analysed by Giles [Oper. Res. 56 (2008) 607-617]. Finally, we use the central limit theorems to optimise the parameters of the multilevel scheme.

Full work available at URL: https://arxiv.org/abs/1602.00548

zbMATH Keywords

central limit theoremEuler schemejump-adapted schememultilevel Monte Carlostable convergenceLévy-driven stochastic differential equation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Monte Carlo methods (65C05) Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical solutions to stochastic differential and integral equations (65C30) Finite difference and finite volume methods for ordinary differential equations (65L12)

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Cited In (9)

• General multilevel adaptations for stochastic approximation algorithms. II: CLTs
• Multi-level Monte Carlo methods with the truncated Euler–Maruyama scheme for stochastic differential equations
• New methods of simulating Lévy processes
• A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations
• Adaptive importance sampling for multilevel Monte Carlo Euler method
• Importance sampling and statistical Romberg method for Lévy processes
• Multilevel Monte Carlo Implementation for SDEs Driven by Truncated Stable Processes
• Central limit theorem for the antithetic multilevel Monte Carlo method
• Central limit theorems for multilevel Monte Carlo methods

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