Multilevel Monte Carlo EM scheme for MV-SDEs with small noise

2023/10/02 by Botija-Munoz, Ulises, Yuan, Chenggui
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.2310.01068

Abstract

In this paper, we estimate the variance of two coupled paths derived with the Multilevel Monte Carlo method combined with the Euler Maruyama discretization scheme for the simulation of McKean-Vlasov stochastic differential equations with small noise. The result often translates into a more efficient method than the standard Monte Carlo method combined with algorithms tailored to the small noise setting.

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