Session A7 - Stochastic Computation
July 12, 14:30 ~ 14:55 - Room B2
Multilevel Monte Carlo for SDEs with Random Bits
TU Kaiserslautern, Germany - email@example.com
Let $X$ be the solution to a stochastic differential equation (SDE), and let $\varphi$ be a real-valued functional on the path space. We study the approximation of the expectation of $\varphi(X)$ by means of randomized algorithms that may only use random bits. We provide upper and lower bounds on the complexity of the problem, as well as a multilevel algorithm that achieves the upper bound.
Joint work with M. Giles (Oxford, UK), M. Hefter (Kaiserslautern, Germany) and L. Mayer (Kaisers\-lautern, Germany).