Non-asymptotic error bounds for the multilevel Monte Carlo Euler method applied to SDEs with constant diffusion coefficient

DOI10.1214/19-EJP271MaRDI QIDQ2631837zbMATH OpenFDO

Authors Benjamin Jourdain, Ahmed Kebaier

Publication date 16 May 2019

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1708.07064, https://projecteuclid.org/euclid.ejp/1550653271

zbMATH Keywords

Euler schemeMalliavin calculusmultilevel Monte Carlo methodsnon asymptotic bounds

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: In this paper, we are interested in deriving non-asymptotic error bounds for the multilevel Monte Carlo method. As a first step, we deal with the explicit Euler discretization of stochastic differential equations with a constant diffusion coefficient. We prove that, as long as the deviation is below an explicit threshold, a Gaussian-type concentration inequality optimal in terms of the variance holds for the multilevel estimator. To do so, we use the Clark-Ocone representation formula and derive bounds for the moment generating functions of the squared difference between a crude Euler scheme and a finer one and of the squared difference of their Malliavin derivatives.

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Cites work

• Analysis and geometry of Markov diffusion operators
• Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
• Concentration and deviation inequalities in infinite dimensions via covariance representations
• Concentration bounds for stochastic approximations
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 785439 (Why is no real title available?)
• Multilevel Monte Carlo Path Simulation
• Multilevel path simulation for weak approximation schemes with application to Lévy-driven SDEs

Cited in

(5)

• Multi-index ensemble Kalman filtering
• Multilevel Monte Carlo method for ergodic SDEs without contractivity
• Asymptotic error distribution of the Euler method for SDEs with non-Lipschitz coefficients
• Multi-index antithetic stochastic gradient algorithm
• On some non asymptotic bounds for the Euler scheme

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