On the error rate of conditional quasi-Monte Carlo for discontinuous functions

DOI10.1137/18M118270XMaRDI QIDQ4633796zbMATH OpenOpenAlexWikidataFDO

Authors Zhijian He

Publication date 6 May 2019

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1708.09512

zbMATH Keywords

smoothingsingularitiesANOVA decompositionconditional quasi-Monte Carlodiscontinuties

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Numerical integration (65D30) Multidimensional problems (41A63)

Abstract: This paper studies the rate of convergence for conditional quasi-Monte Carlo (QMC), which is a counterpart of conditional Monte Carlo. We focus on discontinuous integrands defined on the whole of $R^d$, which can be unbounded. Under suitable conditions, we show that conditional QMC not only has the smoothing effect (up to infinitely times differentiable), but also can bring orders of magnitude reduction in integration error compared to plain QMC. Particularly, for some typical problems in options pricing and Greeks estimation, conditional randomized QMC that uses $n$ samples yields a mean error of $O(n^{-1+epsilon})$ for arbitrarily small $epsilon>0$. As a by-product, we find that this rate also applies to randomized QMC integration with all terms of the ANOVA decomposition of the discontinuous integrand, except the one of highest order.

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Cited in

(8)

• Efficient Importance Sampling in Quasi-Monte Carlo Methods for Computational Finance
• On the convergence rate of randomized quasi-Monte Carlo for discontinuous functions
• Discrepancy-based error estimates for quasi-Monte Carlo. III: Error distributions and central limits
• Preintegration via Active Subspace
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