English

A multilevel Monte Carlo algorithm for SDEs driven by countably dimensional Wiener process and Poisson random measure

Numerical Analysis 2024-03-05 v2 Numerical Analysis Probability

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 nN+n \in \mathbb{N}_{+} and truncation dimension parameter MN+,M \in \mathbb{N}_{+}, is of the order n1/2+δ(M)n^{-1/2}+\delta(M) such that δ()\delta(\cdot) is positive and decreasing to 00. 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 nn and M.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.

Keywords

Cite

@article{arxiv.2307.16640,
  title  = {A multilevel Monte Carlo algorithm for SDEs driven by countably dimensional Wiener process and Poisson random measure},
  author = {Michał Sobieraj},
  journal= {arXiv preprint arXiv:2307.16640},
  year   = {2024}
}

Comments

23 pages, 4 figures, 2 code listings

R2 v1 2026-06-28T11:44:24.158Z