Ninomiya-Victoir scheme : Multilevel Monte Carlo estimators and discretization of the involved Ordinary Differential Equations

DOI10.1051/proc/201759001zbMath1384.65042arXiv1612.07017MaRDI QIDQ4606416

Benjamin Jourdain, Anis Al Gerbi, Emmanuelle Clément

Publication date: 7 March 2018

Published in: ESAIM: Proceedings and Surveys (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1612.07017

zbMATH Keywords

convergence; Runge-Kutta method; Ninomiya-Victoir scheme; Brownian vector fields; multilevel Monte Carlo estimators

Mathematics Subject Classification ID

65C05: Monte Carlo methods

34A34: Nonlinear ordinary differential equations and systems

65L20: Stability and convergence of numerical methods for ordinary differential equations

65L05: Numerical methods for initial value problems involving ordinary differential equations

65L06: Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations

65L70: Error bounds for numerical methods for ordinary differential equations

Related Items

An asymptotic radius of convergence for the Loewner equation and simulation of \(\mathrm{SLE}_{\kappa}\) traces via splitting

Cites Work

• Unnamed Item
• Unnamed Item
• Approximation of Markov semigroups in total variation distance
• Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators
• A new extrapolation method for weak approximation schemes with applications
• A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method
• Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
• On the Acceleration of the Multi-Level Monte Carlo Method
• Multilevel Monte Carlo Path Simulation
• Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing