Monte Carlo versus multilevel Monte Carlo in weak error simulations of SPDE approximations
Journal article, 2018

The simulation of the expectation of a stochastic quantity E[Y] by Monte Carlo methods is known to be computationally expensive especially if the stochastic quantity or its approximation Y-n is expensive to simulate, e.g., the solution of a stochastic partial differential equation. If the convergence of Y-n to Y in terms of the error |E[Y - Y-n]| is to be simulated, this will typically be done by a Monte Carlo method, i.e., |E[Y] - E-N [Y-n]| is computed. In this article upper and lower bounds for the additional error caused by this are determined and compared to those of |E-N [Y - Y-n]|, which are found to be smaller. Furthermore, the corresponding results for multilevel Monte Carlo estimators, for which the additional sampling error converges with the same rate as |E[Y - Y-n]|, are presented. Simulations of a stochastic heat equation driven by multiplicative Wiener noise and a geometric Brownian motion are performed which confirm the theoretical results and show the consequences of the presented theory for weak error simulations.

Variance reduction techniques

Upper and lower error bounds

(multilevel) Monte Carlo methods

Weak convergence

Stochastic partial differential equations

Author

Annika Lang

Chalmers, Mathematical Sciences, Applied Mathematics and Statistics

University of Gothenburg

Andreas Petersson

Chalmers, Mathematical Sciences, Applied Mathematics and Statistics

University of Gothenburg

Mathematics and Computers in Simulation

0378-4754 (ISSN)

Vol. 143 99-113

Infrastructure

C3SE (Chalmers Centre for Computational Science and Engineering)

Subject Categories

Probability Theory and Statistics

DOI

10.1016/j.matcom.2017.05.002

More information

Created

11/14/2017