A FULLY PARALLELIZABLE SPACE-TIME MULTILEVEL MONTE CARLO METHOD FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH ADDITIVE NOISE

作者：Neumueller Martin; Thalhammer Andreas

来源：SIAM Journal on Scientific Computing, 2018, 40(3): C388-C400.

DOI：10.1137/17M1146725

• Monte Carlo estimators
• space-time multigrid
• stochastic differential equations
• stochastic partial differential equations
• parallel-in-time algorithms

In this work a combination of parallelizable space-time multigrid methods for deterministic parabolic partial differential equations with multilevel Monte Carlo methods for stochastic differential equations with additive noise is developed. Instead of applying the backward Euler-Maruyama scheme sequentially for every time step, the basic idea for the considered space-time method is to solve a large linear system at once, for which a parallelizable multigrid algorithm is constructed that inherits the space-time hierarchy of the multilevel Monte Carlo method. Overall, this results in a fully parallelizable algorithm with respect to space, time, and probability. As model problems for the numerical testing of the proposed method serve in finite dimensions the Ornstein-Uhlenbeck process and in infinite dimensions the stochastic heat equation in 1, 2, and 3 space dimensions.

• 出版日期2018