High order recombination and an application to cubature on Wiener space

DOI10.1214/11-AAP786zbMATH Open1261.65011arXiv1008.4942MaRDI QIDQ453236FDOQ453236

Authors: Christian Litterer, Terence J. Lyons 

Publication date: 19 September 2012

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: Particle methods are widely used because they can provide accurate descriptions of evolving measures. Recently it has become clear that by stepping outside the Monte Carlo paradigm these methods can be of higher order with effective and transparent error bounds. A weakness of particle methods (particularly in the higher order case) is the tendency for the number of particles to explode if the process is iterated and accuracy preserved. In this paper we identify a new approach that allows dynamic recombination in such methods and retains the high order accuracy by simplifying the support of the intermediate measures used in the iteration. We describe an algorithm that can be used to simplify the support of a discrete measure and give an application to the cubature on Wiener space method developed by Lyons and Victoir [Proc. R. Soc. Lond. Ser. A Math. Phys. Eng. Sci. 460 (2004) 169-198].

Full work available at URL: https://arxiv.org/abs/1008.4942

Recommendations

• Introducing cubature to filtering
• Cubature on Wiener space continued
• Cubature on Wiener space
• Efficient and Practical Implementations of Cubature on Wiener Space
• Cubature on Wiener space in infinite dimension

zbMATH Keywords

algorithmstochastic differential equationnumerical examplerecombinationparabolic equationsignaturecubature methodfiltering problem

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic particle methods (65C35)

Cites Work

• A survey of convergence results on particle filtering methods for practitioners
• The proof of Tchakaloff’s Theorem
• Cubature on Wiener space
• Title not available (Why is that?)
• Title not available (Why is that?)
• Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
• Title not available (Why is that?)
• Title not available (Why is that?)
• A Problem in Geometric Probability.
• Introducing cubature to filtering
• Title not available (Why is that?)
• On the convergence rates of a general class of weak approximations of SDEs
• A Construction of Nonnegative Approximate Quadratures

Cited In (28)

• CQMC: an improved code for low-dimensional compressed quasi-MonteCarlo cubature
• Cubature on Wiener space continued
• On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations
• On the error estimate for cubature on Wiener space
• Cubature method to solve BSDEs: Error expansion and complexity control
• The adaptive patched cubature filter and its implementation
• Efficient and Practical Implementations of Cubature on Wiener Space
• Estimating the probability that a given vector is in the convex hull of a random sample
• A cubature based algorithm to solve decoupled McKean-Vlasov forward-backward stochastic differential equations
• Tchakaloff-like compression of QMC volume and surface integration on the union of balls
• Second order discretization of backward SDEs and simulation with the cubature method
• Monte Carlo construction of cubature on Wiener space
• On numerical density approximations of solutions of SDEs with unbounded coefficients
• Cubature methods and applications
• Evaluating Lebesgue constants by Chebyshev polynomial meshes on cube, simplex, and ball
• An arbitrary high order weak approximation of SDE and Malliavin Monte Carlo: analysis of probability distribution functions
• Cubature Method for Stochastic Volterra Integral Equations
• Total variation bound for Milstein scheme without iterated integrals
• Monte Carlo cubature construction
• Short Communication: A Gaussian Kusuoka Approximation without Solving Random ODEs
• On the complexity of computing quadrature formulas for marginal distributions of SDEs
• Introducing cubature to filtering
• Nearly optimal nested sensors location for polynomial regression on complex geometries
• Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations
• Deterministic quadrature formulas for SDEs based on simplified weak Itô-Taylor steps
• Derandomization of the Euler scheme for scalar stochastic differential equations
• Cubature on Wiener space
• The signature kernel is the solution of a Goursat PDE

This page was built for publication: High order recombination and an application to cubature on Wiener space

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q453236)