Improving multilevel Monte Carlo for stochastic differential equations with application to the Langevin equation

Eike Mueller, Robert Scheichl, Tony Shardlow

OAI: oai:purehost.bath.ac.uk:openaire_cris_publications/51e9d719-1009-43e5-ba48-92079b7d9d08 • DOI: https://doi.org/10.1098/rspa.2014.0679

This paper applies several well-known tricks from the numerical treatment of deterministic differential equations to improve the efficiency of the multilevel Monte Carlo (MLMC) method for stochastic diffe- rential equations (SDEs) and especially the Langevin equation. We use modified equations analysis as an alternative to strong-approximation theory for the integrator, and we apply this to introduce MLMC for Langevin-type equations with integrators based on operator splitting. We combine this with extrapolation and investigate the use of discrete random variables in place of the Gaussian increments, which is a well-known technique for the weak approximation of SDEs. We show that, for small-noise problems, discrete random variables can lead to an increase in efficiency of almost two orders of magnitude for practical levels of accuracy.

numericalsolutionofstochasticdifferential equations modifiedequations geometrical integrators weakapproximation extrapolation