59 research outputs found
Monte Carlo Euler approximations of HJM term structure financial models
We present Monte Carlo-Euler methods for a weak approximation problem related
to the Heath-Jarrow-Morton (HJM) term structure model, based on \Ito stochastic
differential equations in infinite dimensional spaces, and prove strong and
weak error convergence estimates. The weak error estimates are based on
stochastic flows and discrete dual backward problems, and they can be used to
identify different error contributions arising from time and maturity
discretization as well as the classical statistical error due to finite
sampling. Explicit formulas for efficient computation of sharp error
approximation are included. Due to the structure of the HJM models considered
here, the computational effort devoted to the error estimates is low compared
to the work to compute Monte Carlo solutions to the HJM model. Numerical
examples with known exact solution are included in order to show the behavior
of the estimates
On Nonlinear Stochastic Balance Laws
We are concerned with multidimensional stochastic balance laws. We identify a
class of nonlinear balance laws for which uniform spatial bounds for
vanishing viscosity approximations can be achieved. Moreover, we establish
temporal equicontinuity in of the approximations, uniformly in the
viscosity coefficient. Using these estimates, we supply a multidimensional
existence theory of stochastic entropy solutions. In addition, we establish an
error estimate for the stochastic viscosity method, as well as an explicit
estimate for the continuous dependence of stochastic entropy solutions on the
flux and random source functions. Various further generalizations of the
results are discussed
A theory of -dissipative solvers for scalar conservation laws with discontinuous flux
We propose a general framework for the study of contractive semigroups
of solutions to conservation laws with discontinuous flux. Developing the ideas
of a number of preceding works we claim that the whole admissibility issue is
reduced to the selection of a family of "elementary solutions", which are
certain piecewise constant stationary weak solutions. We refer to such a family
as a "germ". It is well known that (CL) admits many different contractive
semigroups, some of which reflects different physical applications. We revisit
a number of the existing admissibility (or entropy) conditions and identify the
germs that underly these conditions. We devote specific attention to the
anishing viscosity" germ, which is a way to express the "-condition" of
Diehl. For any given germ, we formulate "germ-based" admissibility conditions
in the form of a trace condition on the flux discontinuity line (in the
spirit of Vol'pert) and in the form of a family of global entropy inequalities
(following Kruzhkov and Carrillo). We characterize those germs that lead to the
-contraction property for the associated admissible solutions. Our
approach offers a streamlined and unifying perspective on many of the known
entropy conditions, making it possible to recover earlier uniqueness results
under weaker conditions than before, and to provide new results for other less
studied problems. Several strategies for proving the existence of admissible
solutions are discussed, and existence results are given for fluxes satisfying
some additional conditions. These are based on convergence results either for
the vanishing viscosity method (with standard viscosity or with specific
viscosities "adapted" to the choice of a germ), or for specific germ-adapted
finite volume schemes
Construction of a Mean Square Error Adaptive Euler--Maruyama Method with Applications in Multilevel Monte Carlo
A formal mean square error expansion (MSE) is derived for Euler--Maruyama
numerical solutions of stochastic differential equations (SDE). The error
expansion is used to construct a pathwise a posteriori adaptive time stepping
Euler--Maruyama method for numerical solutions of SDE, and the resulting method
is incorporated into a multilevel Monte Carlo (MLMC) method for weak
approximations of SDE. This gives an efficient MSE adaptive MLMC method for
handling a number of low-regularity approximation problems. In low-regularity
numerical example problems, the developed adaptive MLMC method is shown to
outperform the uniform time stepping MLMC method by orders of magnitude,
producing output whose error with high probability is bounded by TOL>0 at the
near-optimal MLMC cost rate O(TOL^{-2}log(TOL)^4).Comment: 43 pages, 12 figure
Guidance on Noncorticosteroid Systemic Immunomodulatory Therapy in Noninfectious Uveitis: Fundamentals Of Care for UveitiS (FOCUS) Initiative
Topic: An international, expert-led consensus initiative to develop systematic, evidence-based recommendations for the treatment of noninfectious uveitis in the era of biologics. Clinical Relevance: The availability of biologic agents for the treatment of human eye disease has altered practice patterns for the management of noninfectious uveitis. Current guidelines are insufficient to assure optimal use of noncorticosteroid systemic immunomodulatory agents. Methods: An international expert steering committee comprising 9 uveitis specialists (including both ophthalmologists and rheumatologists) identified clinical questions and, together with 6 bibliographic fellows trained in uveitis, conducted a Preferred Reporting Items for Systematic Reviews and Meta-Analyses protocol systematic review of the literature (English language studies from January 1996 through June 2016; Medline [OVID], the Central Cochrane library, EMBASE, CINAHL, SCOPUS, BIOSIS, and Web of Science). Publications included randomized controlled trials, prospective and retrospective studies with sufficient follow-up, case series with 15 cases or more, peer-reviewed articles, and hand-searched conference abstracts from key conferences. The proposed statements were circulated among 130 international uveitis experts for review. A total of 44 globally representative group members met in late 2016 to refine these guidelines using a modified Delphi technique and assigned Oxford levels of evidence. Results: In total, 10 questions were addressed resulting in 21 evidence-based guidance statements covering the following topics: when to start noncorticosteroid immunomodulatory therapy, including both biologic and nonbiologic agents; what data to collect before treatment; when to modify or withdraw treatment; how to select agents based on individual efficacy and safety profiles; and evidence in specific uveitic conditions. Shared decision-making, communication among providers and safety monitoring also were addressed as part of the recommendations. Pharmacoeconomic considerations were not addressed. Conclusions: Consensus guidelines were developed based on published literature, expert opinion, and practical experience to bridge the gap between clinical needs and medical evidence to support the treatment of patients with noninfectious uveitis with noncorticosteroid immunomodulatory agents
ADAPTIVE WEAK APPROXIMATION OF DIFFUSIONS WITH JUMPS
This work develops adaptive time stepping algorithms for the approximation of a functional of a diffusion with jumps based on a jump augmented Monte Carlo Euler–Maruyama method, which achieve a prescribed precision. The main result is the derivation of new expansions for the time discretization error, with computable leading order term in a posteriori form, which are based on stochastic flows and discrete dual backward functions. Combined with proper estimation of the statistical error, they lead to efficient and accurate computation of global error estimates, extending the results by A. Szepessy, R. Tempone, and G. E. Zouraris [Comm. Pure Appl. Math., 54 (2001), pp. 1169–1214]. Adaptive algorithms for either deterministic or trajectory-dependent time stepping are proposed. Numerical examples show the performance of the proposed error approximations and the adaptive schemes
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