Using coupling methods to estimate sample quality of stochastic differential equations

DOI10.1137/20M1312009MaRDI QIDQ5149781zbMATH OpenOpenAlexWikidataFDO

Authors Yao Li, Jiayu Zhai, M. Dobson

Publication date 8 February 2021

Published in SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1912.10339

zbMATH Keywords

Monte Carlo simulationstochastic differential equationinvariant measure

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: A probabilistic approach for estimating sample qualities for stochastic differential equations is introduced in this paper. The aim is to provide a quantitative upper bound of the distance between the invariant probability measure of a stochastic differential equation and that of its numerical approximation. In order to extend estimates of finite time truncation error to infinite time, it is crucial to know the rate of contraction of the transition kernel of the SDE. We find that suitable numerical coupling methods can effectively estimate such rate of contraction, which gives the distance between two invariant probability measures. Our algorithms are tested with several low and high dimensional numerical examples.

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Cited in

(5)

• Data-driven computational methods for quasi-stationary distribution and sensitivity analysis
• Sensitivity Analysis of Quasi-Stationary Distributions (QSDs) of Mass-Action Systems
• Stationary distributions of persistent ecological systems
• Bounding Wasserstein Distance with Couplings
• The implementation of approximate coupling in two-dimensional SDEs with invertible diffusion terms

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