On the convergence of adaptive approximations for stochastic differential equations
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arXiv
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| Format: | Preprint |
| Publié: |
2023
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| _version_ | 1866918239345311744 |
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| author | Foster, James Jelinčič, Andraž |
| author_facet | Foster, James Jelinčič, Andraž |
| contents | In this paper, we study numerical approximations for stochastic differential equations (SDEs) that use adaptive step sizes. In particular, we consider a general setting where decisions to reduce step sizes are allowed to depend on the future trajectory of the underlying Brownian motion. Since these adaptive step sizes may not be previsible, the standard mean squared error analysis cannot be directly applied to show that the numerical method converges to the solution of the SDE. Building upon the pioneering work of Gaines and Lyons, we instead use rough path theory to establish pathwise convergence for a wide class of adaptive numerical methods on general Stratonovich SDEs (with sufficiently smooth vector fields). To our knowledge, this is the first convergence guarantee that applies to standard solvers, such as the Milstein and Heun methods, with non-previsible step sizes. In our analysis, we require adaptive step sizes to have a "no skip" property and to take values at only dyadic times. Secondly, in contrast to the Euler-Maruyama method, we require the SDE solver to have unbiased "Lévy area" terms in its Taylor expansion. We conjecture that for adaptive SDE solvers more generally, convergence is still possible provided the method does not introduce "Lévy area bias". We present a simple example where the step size control can skip over previously considered times, resulting in the numerical method converging to an incorrect limit (i.e. not the Stratonovich SDE). Finally, we conclude with an experiment demonstrating the accuracy of Heun's method and a newly introduced Splitting Path-based Runge-Kutta scheme (SPaRK) when used with adaptive step sizes. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2311_14201 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | On the convergence of adaptive approximations for stochastic differential equations Foster, James Jelinčič, Andraž Numerical Analysis Probability In this paper, we study numerical approximations for stochastic differential equations (SDEs) that use adaptive step sizes. In particular, we consider a general setting where decisions to reduce step sizes are allowed to depend on the future trajectory of the underlying Brownian motion. Since these adaptive step sizes may not be previsible, the standard mean squared error analysis cannot be directly applied to show that the numerical method converges to the solution of the SDE. Building upon the pioneering work of Gaines and Lyons, we instead use rough path theory to establish pathwise convergence for a wide class of adaptive numerical methods on general Stratonovich SDEs (with sufficiently smooth vector fields). To our knowledge, this is the first convergence guarantee that applies to standard solvers, such as the Milstein and Heun methods, with non-previsible step sizes. In our analysis, we require adaptive step sizes to have a "no skip" property and to take values at only dyadic times. Secondly, in contrast to the Euler-Maruyama method, we require the SDE solver to have unbiased "Lévy area" terms in its Taylor expansion. We conjecture that for adaptive SDE solvers more generally, convergence is still possible provided the method does not introduce "Lévy area bias". We present a simple example where the step size control can skip over previously considered times, resulting in the numerical method converging to an incorrect limit (i.e. not the Stratonovich SDE). Finally, we conclude with an experiment demonstrating the accuracy of Heun's method and a newly introduced Splitting Path-based Runge-Kutta scheme (SPaRK) when used with adaptive step sizes. |
| title | On the convergence of adaptive approximations for stochastic differential equations |
| topic | Numerical Analysis Probability |
| url | https://arxiv.org/abs/2311.14201 |