A multilevel Monte Carlo algorithm for SDEs driven by countably dimensional Wiener process and Poisson random measure
Year: 2023
Type: preprint
Abstract: In this paper, we investigate the properties of standard and multilevel Monte Carlo methods for weak approximation of solutions of stochastic differential equations (SDEs) driven by the infinite-dimensional Wiener process and Poisson random measure with Lipschitz payoff function. The error of the truncated dimension randomized numerical scheme, which is determined by two parameters, i.e grid density $n \in \mathbb{N}_{+}$ and truncation dimension parameter $M \in \mathbb{N}_{+},$ is of the order $n^{-1/2}+δ(M)$ such that $δ(\cdot)$ is positive and decreasing to $0$. We derive complexity model and provide proof for the upper complexity bound of the multilevel Monte Carlo method which depends on two increasing sequences of parameters for both $n$ and $M.$ The complexity is measured in terms of upper bound for mean-squared error and compared with the complexity of the standard Monte Carlo algorithm. The results from numerical experiments as well as Python and CUDA C implementation are also reported.
Source: arXiv (Cornell University)
Author: Sobieraj, Michał
Institution: AGH University of Krakow
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W4385474358