Monte Carlo versus multilevel Monte Carlo in weak error simulations of SPDE approximations
arXiv:1512.05317 · doi:10.1016/j.matcom.2017.05.002
Abstract
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.
16 pages, 5 figures; formulated Section 2 independently of SPDEs, shortened Section 3, added example of geometric Brownian motion in Section 4
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