244 research outputs found
A Milstein scheme for SPDEs
This article studies an infinite dimensional analog of Milstein's scheme for
finite dimensional stochastic ordinary differential equations (SODEs). The
Milstein scheme is known to be impressively efficient for SODEs which fulfill a
certain commutativity type condition. This article introduces the infinite
dimensional analog of this commutativity type condition and observes that a
certain class of semilinear stochastic partial differential equation (SPDEs)
with multiplicative trace class noise naturally fulfills the resulting infinite
dimensional commutativity condition. In particular, a suitable infinite
dimensional analog of Milstein's algorithm can be simulated efficiently for
such SPDEs and requires less computational operations and random variables than
previously considered algorithms for simulating such SPDEs. The analysis is
supported by numerical results for a stochastic heat equation and stochastic
reaction diffusion equations showing signifficant computational savings.Comment: The article is slightly revised and shortened. In particular, some
numerical simulations are remove
Mean-square stability and error analysis of implicit time-stepping schemes for linear parabolic SPDEs with multiplicative Wiener noise in the first derivative
In this article, we extend a Milstein finite difference scheme introduced in
[Giles & Reisinger(2011)] for a certain linear stochastic partial differential
equation (SPDE), to semi- and fully implicit timestepping as introduced by
[Szpruch(2010)] for SDEs. We combine standard finite difference Fourier
analysis for PDEs with the linear stability analysis in [Buckwar &
Sickenberger(2011)] for SDEs, to analyse the stability and accuracy. The
results show that Crank-Nicolson timestepping for the principal part of the
drift with a partially implicit but negatively weighted double It\^o integral
gives unconditional stability over all parameter values, and converges with the
expected order in the mean-square sense. This opens up the possibility of local
mesh refinement in the spatial domain, and we show experimentally that this can
be beneficial in the presence of reduced regularity at boundaries
Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance
In this article, we propose a Milstein finite difference scheme for a
stochastic partial differential equation (SPDE) describing a large particle
system. We show, by means of Fourier analysis, that the discretisation on an
unbounded domain is convergent of first order in the timestep and second order
in the spatial grid size, and that the discretisation is stable with respect to
boundary data. Numerical experiments clearly indicate that the same convergence
order also holds for boundary-value problems. Multilevel path simulation,
previously used for SDEs, is shown to give substantial complexity gains
compared to a standard discretisation of the SPDE or direct simulation of the
particle system. We derive complexity bounds and illustrate the results by an
application to basket credit derivatives
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