Full history recursive multilevel Picard approximations for ordinary differential equations with expectations

arXiv2103.02350MaRDI QIDQ6362033FDOQ6362033

Authors: Christian Beck, Martin Hutzenthaler, Arnulf Jentzen, Emilia Magnani 

Publication date: 3 March 2021

Abstract: We consider ordinary differential equations (ODEs) which involve expectations of a random variable. These ODEs are special cases of McKean-Vlasov stochastic differential equations (SDEs). A plain vanilla Monte Carlo approximation method for such ODEs requires a computational cost of order $varepsilo{n}^{-3}$ to achieve a root-mean-square error of size $varepsilon$. In this work we adapt recently introduced full history recursive multilevel Picard (MLP) algorithms to reduce this computational complexity. Our main result shows for every $delta>0$ that the proposed MLP approximation algorithm requires only a computational effort of order $varepsilo{n}^{-(2+delta)}$ to achieve a root-mean-square error of size $varepsilon$.

Mathematics Subject Classification ID

Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75) Numerical methods for ordinary differential equations (65Lxx) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65Mxx) Probabilistic methods, stochastic differential equations (65Cxx)

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