Multilevel Monte Carlo method for ergodic SDEs without contractivity

DOI10.1016/J.JMAA.2018.12.032MaRDI QIDQ2633846zbMATH OpenOpenAlexWikidataFDO

Authors Wei Fang, Mike Giles

Publication date 10 May 2019

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1803.05932

zbMATH Keywords

change of measureEuler-Maruyamainvariant measureMLMCSDEstrong convergence

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Diffusion processes (60J60) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: This paper proposes a new multilevel Monte Carlo (MLMC) method for the ergodic SDEs which do not satisfy the contractivity condition. By introducing the change of measure technique, we simulate the path with contractivity and add the Radon-Nykodim derivative to the estimator. We can show the strong error of the path is uniformly bounded with respect to $T.$ Moreover, the variance of the new level estimators increase linearly in $T,$ which is a great reduction compared with the exponential increase in standard MLMC. Then the total computational cost is reduced to $O(varepsilo{n}^{-2}|logvarepsilon{|}^2)$ from $O(varepsilo{n}^{-3}|logvarepsilon|)$ of the standard Monte Carlo method. Numerical experiments support our analysis.

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Cited in

(13)

• Improved bounds for discretization of Langevin diffusions: near-optimal rates without convexity
• Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift
• Multi-level Monte Carlo methods for the approximation of invariant measures of stochastic differential equations
• Nonasymptotic bounds for sampling algorithms without log-concavity
• Antithetic Multilevel Monte Carlo Estimation for Multidimensional SDEs
• Importance sampling for pathwise sensitivity of stochastic chaotic systems
• A Wasserstein coupled particle filter for multilevel estimation
• Adaptive importance sampling for multilevel Monte Carlo Euler method
• Analysis of a Class of Multilevel Markov Chain Monte Carlo Algorithms Based on Independent Metropolis–Hastings
• Antithetic multilevel Monte Carlo method for approximations of SDEs with non-globally Lipschitz continuous coefficients
• Multilevel importance sampling for rare events associated with the McKean-Vlasov equation
• Multi-level Monte Carlo methods in chemical applications with Lennard-Jones potentials and other landscapes with isolated singularities
• Multi-index importance sampling for McKean-Vlasov stochastic differential equations

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