Multilevel MC method for weak approximation of stochastic differential equation with the exact coupling scheme
Davie’s exact coupling technique for stochastic differential equations may be used to enhance the convergence of the multilevel Monte Carlo (MC) methodology. Giles developed the multilevel MC technique, which is based on executing the MC method several times with various time increments. It cuts com...
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| Format: | Article |
| Language: | English |
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De Gruyter
2022-04-01
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| Series: | Open Mathematics |
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| Online Access: | https://doi.org/10.1515/math-2022-0019 |
| _version_ | 1818025279122046976 |
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| author | Alnafisah Yousef |
| author_facet | Alnafisah Yousef |
| author_sort | Alnafisah Yousef |
| collection | DOAJ |
| description | Davie’s exact coupling technique for stochastic differential equations may be used to enhance the convergence of the multilevel Monte Carlo (MC) methodology. Giles developed the multilevel MC technique, which is based on executing the MC method several times with various time increments. It cuts computing costs significantly by executing most simulations at a low cost. The essential concept behind the multilevel MC approach with the exact coupling is discussed in this article. Numerical implementation reveals significant computational savings, which supports the analysis. |
| first_indexed | 2024-12-10T04:13:35Z |
| format | Article |
| id | doaj.art-f901364ccb044e0899403d13f804a8cc |
| institution | Directory Open Access Journal |
| issn | 2391-5455 |
| language | English |
| last_indexed | 2024-12-10T04:13:35Z |
| publishDate | 2022-04-01 |
| publisher | De Gruyter |
| record_format | Article |
| series | Open Mathematics |
| spelling | doaj.art-f901364ccb044e0899403d13f804a8cc2022-12-22T02:02:40ZengDe GruyterOpen Mathematics2391-54552022-04-0120130531210.1515/math-2022-0019Multilevel MC method for weak approximation of stochastic differential equation with the exact coupling schemeAlnafisah Yousef0Mathematics Department, College of Science, Qassim University, P.O.Box 6644, Buraydah 51452, Saudi ArabiaDavie’s exact coupling technique for stochastic differential equations may be used to enhance the convergence of the multilevel Monte Carlo (MC) methodology. Giles developed the multilevel MC technique, which is based on executing the MC method several times with various time increments. It cuts computing costs significantly by executing most simulations at a low cost. The essential concept behind the multilevel MC approach with the exact coupling is discussed in this article. Numerical implementation reveals significant computational savings, which supports the analysis.https://doi.org/10.1515/math-2022-0019exact couplingstochastic differential equationsnumerical solution of stochastic differential equationsweak convergence11-xx60-xx65-xx68-xx |
| spellingShingle | Alnafisah Yousef Multilevel MC method for weak approximation of stochastic differential equation with the exact coupling scheme Open Mathematics exact coupling stochastic differential equations numerical solution of stochastic differential equations weak convergence 11-xx 60-xx 65-xx 68-xx |
| title | Multilevel MC method for weak approximation of stochastic differential equation with the exact coupling scheme |
| title_full | Multilevel MC method for weak approximation of stochastic differential equation with the exact coupling scheme |
| title_fullStr | Multilevel MC method for weak approximation of stochastic differential equation with the exact coupling scheme |
| title_full_unstemmed | Multilevel MC method for weak approximation of stochastic differential equation with the exact coupling scheme |
| title_short | Multilevel MC method for weak approximation of stochastic differential equation with the exact coupling scheme |
| title_sort | multilevel mc method for weak approximation of stochastic differential equation with the exact coupling scheme |
| topic | exact coupling stochastic differential equations numerical solution of stochastic differential equations weak convergence 11-xx 60-xx 65-xx 68-xx |
| url | https://doi.org/10.1515/math-2022-0019 |
| work_keys_str_mv | AT alnafisahyousef multilevelmcmethodforweakapproximationofstochasticdifferentialequationwiththeexactcouplingscheme |