Conference abstracts

Session A7 - Stochastic Computation

July 12, 14:30 ~ 14:55 - Room B2

Multilevel Monte Carlo for SDEs with Random Bits

Klaus Ritter

TU Kaiserslautern, Germany   -

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).

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FoCM 2017, based on a nodethirtythree design.