From rough path estimates to multilevel Monte Carlo
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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
(25)- Discrete-time simulation of stochastic Volterra equations
- Bayesian parameter inference for partially observed stochastic differential equations driven by fractional Brownian motion
- -strong simulation for multidimensional stochastic differential equations via rough path analysis
- Wong-Zakai approximation for stochastic differential equations driven by \(G\)-Brownian motion
- Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction
- 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 paths based numerical algorithms in computational finance
- Rough stochastic Pontryagin maximum principle and an indirect shooting method
- 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
- Runge-Kutta methods for rough differential equations
- Multilevel Monte Carlo for stochastic differential equations with small 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
- Optimal convergence rate of modified Milstein scheme for SDEs with rough fractional diffusions
- Stochastic modified equations for symplectic methods applied to rough Hamiltonian systems
- Stochastic control with signatures
- First-order Euler scheme for SDEs driven by fractional Brownian motions: the rough case
- Central limit theorems for multilevel Monte Carlo methods
- The maximum rate of convergence for the approximation of the fractional Lévy area at a single point
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