Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators

DOI10.1515/MCMA-2016-0109MaRDI QIDQ308405zbMATH OpenOpenAlexFDO

Authors Anis Al Gerbi, Benjamin Jourdain, Emmanuelle Clément

Publication date 6 September 2016

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1508.06492

zbMATH Keywords

strong convergencediscretisation of SDEsmultilevel Monte Carlo methodsNinomiya-Victoir scheme

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: In this paper, we are interested in the strong convergence properties of the Ninomiya-Victoir scheme which is known to exhibit weak convergence with order 2. We prove strong convergence with order $1/2$. This study is aimed at analysing the use of this scheme either at each level or only at the finest level of a multilevel Monte Carlo estimator: indeed, the variance of a multilevel Monte Carlo estimator is related to the strong error between the two schemes used on the coarse and fine grids at each level. Recently, Giles and Szpruch proposed a scheme permitting to construct a multilevel Monte Carlo estimator achieving the optimal complexity $Oleft(epsilo{n}^{-2}ight)$ for the precision $epsilon$. In the same spirit, we propose a modified Ninomiya-Victoir scheme, which may be strongly coupled with order $1$ to the Giles-Szpruch scheme at the finest level of a multilevel Monte Carlo estimator. Numerical experiments show that this choice improves the efficiency, since the order $2$ of weak convergence of the Ninomiya-Victoir scheme permits to reduce the number of discretization levels.

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Cites work

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Cited in

(4)

• Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators
• Limit theorems for weighted and regular multilevel estimators
• Ninomiya-Victoir scheme : Multilevel Monte Carlo estimators and discretization of the involved Ordinary Differential Equations
• Central limit theorem for the antithetic multilevel Monte Carlo method

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