From rough path estimates to multilevel Monte Carlo
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Publication:2807285
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)
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.
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Cited in
(21)- Strong convergence rate of finite difference approximations for stochastic cubic Schrödinger equations
- Rough paths based numerical algorithms in computational finance
- 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
- Numerical methods for conservation laws with rough flux
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- Multilevel Monte Carlo for stochastic differential equations with small noise
- Rough differential equations with unbounded drift term
- Central limit theorems for multilevel Monte Carlo methods
- \(\varepsilon\)-strong simulation for multidimensional stochastic differential equations via rough path analysis
- Wong-Zakai type approximations of rough random dynamical systems by smooth noise
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