From rough path estimates to multilevel Monte Carlo
From MaRDI portal
Publication:2807285
DOI10.1137/140995209zbMATH Open1343.60097arXiv1305.5779OpenAlexW3098677150MaRDI QIDQ2807285FDOQ2807285
Sebastian Riedel, John Schoenmakers, Peter Friz, Christian Bayer
Publication date: 20 May 2016
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Abstract: New classes of stochastic differential equations can now be studied using rough path theory (e.g. Lyons et al. [LCL07] or Friz--Hairer [FH14]). In this paper we investigate, from a numerical analysis point of view, stochastic differential equations driven by Gaussian noise in the aforementioned sense. Our focus lies on numerical implementations, and more specifically on the saving possible via multilevel methods. Our analysis relies on a subtle combination of pathwise estimates, Gaussian concentration, and multilevel ideas. Numerical examples are given which both illustrate and confirm our findings.
Full work available at URL: https://arxiv.org/abs/1305.5779
Recommendations
- Multilevel Monte Carlo for stochastic differential equations with small noise
- Multilevel Monte Carlo for stochastic differential equations with additive fractional noise
- Multilevel Monte Carlo Path Simulation
- Analysis of multilevel Monte Carlo path simulation using the Milstein discretisation
- Rough paths based numerical algorithms in computational finance
Monte Carlo methods (65C05) Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Cites Work
- Mersenne twister
- Title not available (Why is that?)
- Multilevel Monte Carlo Path Simulation
- A continuation multilevel Monte Carlo algorithm
- Convergence rates for the full Gaussian rough paths
- Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
- Multidimensional Stochastic Processes as Rough Paths
- Differential Equations Driven by Rough Paths: An Approach via Discrete Approximation
- A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion
- System Control and Rough Paths
- A course on rough paths. With an introduction to regularity structures
- The Jain-Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory
- Integrability and tail estimates for Gaussian rough differential equations
- Integrability of (Non-)Linear Rough Differential Equations and Integrals
- Differential equations driven by rough paths. Ecole d'Eté de Probabilités de Saint-Flour XXXIV -- 2004. Lectures given at the 34th probability summer school, July 6--24, 2004.
- Densities for rough differential equations under Hörmander's condition
- Differential equations driven by Gaussian signals
- Improved multilevel Monte Carlo convergence using the Milstein scheme
- Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution
- Stochastic analysis, rough path analysis and fractional Brownian motions.
- Regularity of laws and ergodicity of hypoelliptic SDEs driven by rough paths
- Volatility is rough
- Multilevel dual approach for pricing American style derivatives
- Pricing under rough volatility
- Variable Subspace Sampling and Multi-level Algorithms
- Asymptotic Behavior of the Fractional Heston Model
Cited In (17)
- Discrete-time simulation of stochastic Volterra equations
- 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
- Wong-Zakai approximation for stochastic differential equations driven by \(G\)-Brownian motion
- Strong convergence rate of finite difference approximations for stochastic cubic Schrödinger equations
- 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
- Strong convergence rate of the Euler scheme for SDEs driven by additive rough fractional noises
- Symplectic Runge-Kutta methods for Hamiltonian systems driven by Gaussian rough paths
- Strong approximation of monotone stochastic partial differential equations driven by multiplicative noise
- Error analysis for approximations to one-dimensional SDEs via the perturbation method
- Numerical methods for conservation laws with rough flux
- Solving linear parabolic rough partial differential equations
- Wong-Zakai type approximations of rough random dynamical systems by smooth noise
- First-order Euler scheme for SDEs driven by fractional Brownian motions: the rough case
- The maximum rate of convergence for the approximation of the fractional Lévy area at a single point
- Central limit theorems for multilevel Monte Carlo methods
Uses Software
This page was built for publication: From rough path estimates to multilevel Monte Carlo
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2807285)
