Quasi-Monte Carlo for SDE Simulation: Error Analysis and Dimensionality Reduction

DOI10.48550/arXiv.2606.24207MaRDI QIDQ7269986arXivFDO

Authors Du Ouyang, Zexin Pan, Zhijian He

Publication date 23 June 2026

Published in arXiv

Tldr We develop a Quasi-Monte Carlo (QMC) method for stochastic differential equations, analyzing its error and proposing an efficient Multilevel Stochastic Time Grid (MSTG) method to reduce dimensionality, achieving super-exponential convergence rates with significantly fewer discretization steps than the traditional Euler-Maruyama scheme.

Full work available at URL https://doi.org/10.48550/arXiv.2606.24207

arXiv classification

math.NA

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