From Rough Path Estimates to Multilevel Monte Carlo
From MaRDI portal
Publication:2807285
DOI10.1137/140995209zbMath1343.60097arXiv1305.5779MaRDI QIDQ2807285
Sebastian Riedel, Peter K. Friz, Christian Bayer, John G. M. Schoenmakers
Publication date: 20 May 2016
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1305.5779
60G15: Gaussian processes
65C05: Monte Carlo methods
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
Related Items
The maximum rate of convergence for the approximation of the fractional Lévy area at a single point, The Jain-Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory, Rough differential equations with unbounded drift term, First-order Euler scheme for SDEs driven by fractional Brownian motions: the rough case, Symplectic Runge-Kutta methods for Hamiltonian systems driven by Gaussian rough paths, Strong convergence rate of finite difference approximations for stochastic cubic Schrödinger equations, Strong approximation of monotone stochastic partial differential equations driven by multiplicative noise, Optimal convergence rate of modified milstein scheme for SDEs with rough fractional diffusions, Bayesian parameter inference for partially observed stochastic differential equations driven by fractional Brownian motion, Strong convergence rate of the Euler scheme for SDEs driven by additive rough fractional noises, Wong-Zakai approximation for stochastic differential equations driven by \(G\)-Brownian motion, Error analysis for approximations to one-dimensional SDEs via the perturbation method, Solving linear parabolic rough partial differential equations, Discrete-time simulation of stochastic Volterra equations, Central limit theorems for multilevel Monte Carlo methods, Numerical methods for conservation laws with rough flux, Wong-Zakai type approximations of rough random dynamical systems by smooth noise
Uses Software
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