Stabilized multilevel Monte Carlo method for stiff stochastic differential equations

被引:23
|
作者
Abdulle, Assyr [1 ]
Blumenthal, Adrian [1 ]
机构
[1] Ecole Polytech Fed Lausanne, ANMC, Math Sect, CH-1015 Lausanne, Switzerland
基金
瑞士国家科学基金会;
关键词
Multilevel Monte Carlo; Stochastic differential equations; Stability; Stiffness; S-ROCK method; RUNGE-KUTTA METHODS; CHEBYSHEV METHODS; S-ROCK; SIMULATION; EXPLICIT;
D O I
10.1016/j.jcp.2013.05.039
中图分类号
TP39 [计算机的应用];
学科分类号
081203 ; 0835 ;
摘要
A multilevel Monte Carlo (MLMC) method for mean square stable stochastic differential equations with multiple scales is proposed. For such problems, that we call stiff, the performance of MLMC methods based on classical explicit methods deteriorates because of the time step restriction to resolve the fastest scales that prevents to exploit all the levels of the MLMC approach. We show that by switching to explicit stabilized stochastic methods and balancing the stabilization procedure simultaneously with the hierarchical sampling strategy of MLMC methods, the computational cost for stiff systems is significantly reduced, while keeping the computational algorithm fully explicit and easy to implement. Numerical experiments on linear and nonlinear stochastic differential equations and on a stochastic partial differential equation illustrate the performance of the stabilized MLMC method and corroborate our theoretical findings. (C) 2013 Elsevier Inc. All rights reserved.
引用
收藏
页码:445 / 460
页数:16
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