Related papers: Multi-step Richardson-Romberg Extrapolation: Remar…
We consider the problem of estimating the error when solving a system of differential algebraic equations. Richardson extrapolation is a classical technique that can be used to judge when computational errors are irrelevant and estimate the…
Product formulae are a popular class of digital quantum simulation algorithms due to their conceptual simplicity, low overhead, and performance which often exceeds theoretical expectations. Recently, Richardson extrapolation and polynomial…
We develop a new Monte Carlo variance reduction method to estimate the expectation of two commonly encountered path-dependent functionals: first-passage times and occupation times of sets. The method is based on a recursive approximation of…
This paper proposes and analyses a new multilevel Monte Carlo method for the estimation of mean exit times for multi-dimensional Brownian diffusions, and associated functionals which correspond to solutions to high-dimensional parabolic…
We present a novel control variate technique for enhancing the efficiency of Monte Carlo (MC) estimation of expectations involving solutions to stochastic differential equations (SDEs). Our method integrates a primary fine-time-step…
Recently, Giles et al. [14] proved that the efficiency of the Multilevel Monte Carlo (MLMC) method for evaluating Down-and-Out barrier options for a diffusion process $(X_t)_{t\in[0,T]}$ with globally Lipschitz coefficients, can be improved…
Consider a multidimensional diffusion process $X=\{X\left(t\right) :t\in\lbrack0,1]\}$. Let $\varepsilon>0$ be a \textit{deterministic}, user defined, tolerance error parameter. Under standard regularity conditions on the drift and…
Almost every numerical task can be cast as extrapolation with respect to the fidelity or tolerance parameters of a consistent numerical method. This perspective enables probabilistic uncertainty quantification and optimal experimental…
Estimation of parameters of a diffusion based on discrete time observations poses a difficult problem due to the lack of a closed form expression for the likelihood. From a Bayesian computational perspective it can be casted as a missing…
We consider the problem of numerically estimating expectations of solutions to stochastic differential equations driven by Brownian motions in the commonly occurring small noise regime. We consider (i) standard Monte Carlo methods combined…
Richardson extrapolation is applied to a simple first-order upwind difference scheme for the approximation of solutions of singularly perturbed convection-diffusion problems in one dimension. Robust a posteriori error bounds are derived for…
In this paper we discuss the possibility of using multilevel Monte Carlo (MLMC) methods for weak approximation schemes. It turns out that by means of a simple coupling between consecutive time discretisation levels, one can achieve the same…
With a view to numerical applications we address the following question: given an ergodic Brownian diffusion with a unique invariant distribution, what are the invariant distributions of the duplicated system consisting of two trajectories?…
In this paper, we are interested in deriving non-asymptotic error bounds for the multilevel Monte Carlo method. As a first step, we deal with the explicit Euler discretization of stochastic differential equations with a constant diffusion…
Approximate solutions of Urysohn integral equations using projection methods involve integrals which need to be evaluated using a numerical quadrature formula. It gives rise to the discrete versions of the projection methods. For $r \geq…
From adversarial robustness to multi-agent learning, many machine learning tasks can be cast as finite-sum min-max optimization or, more generally, as variational inequality problems (VIPs). Owing to their simplicity and scalability,…
We study the error induced by the time discretization of a decoupled forward-backward stochastic differential equations $(X,Y,Z)$. The forward component $X$ is the solution of a Brownian stochastic differential equation and is approximated…
We study discrete-time simulation schemes for stochastic Volterra equations, namely the Euler and Milstein schemes, and the corresponding Multi-Level Monte-Carlo method. By using and adapting some results from Zhang [22], together with the…
In this work we develop an effective Monte Carlo method for estimating sensitivities, or gradients of expectations of sufficiently smooth functionals, of a reflected diffusion in a convex polyhedral domain with respect to its defining…
We propose an extrapolation technique that allows accuracy improvement of the discrete dipole approximation computations. The performance of this technique was studied empirically based on extensive simulations for 5 test cases using many…