Convergence in Hölder norms with applications to Monte Carlo methods in infinite dimensions

DOI10.1093/IMANUM/DRZ063MaRDI QIDQ4964092zbMATH OpenOpenAlexFDO

Authors Sonja Cox, Martin Hutzenthaler, Arnulf Jentzen, Timo Welti, Jan van Neerven

Publication date 24 February 2021

Published in IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1605.00856, http://resolver.tudelft.nl/uuid:19f381e9-2326-4394-b79a-eda34013d6e0

zbMATH Keywords

convergence analysisMonte Carlo methodstochastic processHölder norms

Mathematics Subject Classification ID

Monte Carlo methods (65C05) General theory of numerical analysis in abstract spaces (65J05)

Abstract: We show that if a sequence of piecewise affine linear processes converges in the strong sense with a positive rate to a stochastic process which is strongly H"older continuous in time, then this sequence converges in the strong sense even with respect to much stronger H"older norms and the convergence rate is essentially reduced by the H"older exponent. Our first application hereof establishes pathwise convergence rates for spectral Galerkin approximations of stochastic partial differential equations. Our second application derives strong convergence rates of multilevel Monte Carlo approximations of expectations of Banach space valued stochastic processes.

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Cited in

(13)

• On a set-valued Young integral with applications to differential inclusions
• Weak convergence rates of spectral Galerkin approximations for SPDEs with nonlinear diffusion coefficients
• A Proof that Artificial Neural Networks Overcome the Curse of Dimensionality in the Numerical Approximation of Black–Scholes Partial Differential Equations
• On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone coefficients
• Strong convergence rate of Euler-Maruyama approximations in temporal-spatial Hölder-norms
• Convergence of a Least‐Squares Monte Carlo Algorithm for Bounded Approximating Sets
• Some approximation results for mild solutions of stochastic fractional order evolution equations driven by Gaussian noise
• Overall error analysis for the training of deep neural networks via stochastic gradient descent with random initialisation
• Monte Carlo convergence rates for \(k\)th moments in Banach spaces
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• Maximal inequalities for stochastic convolutions and pathwise uniform convergence of time discretisation schemes
• Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations
• Multilevel Monte Carlo finite volume methods for random conservation laws with discontinuous flux

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