Divergence with probability one of the multilevel Monte Carlo Euler method

Let T(0,)T\in(0,\infty), let (Ω,F,P)(\Omega,\mathcal{F},\mathbb{P}) be a probability space with a normal filtration (Ft)t[0,T](\mathcal{F}_t)_{t\in[0,T]}, let Wl,kW^{l,k} be a family of independent one-dimensional standard Brownian motions, and let ξl,k\xi^{l,k} be an independent identically distributed family of initial values with finite moments of every order. Let μ,σ ⁣:RR\mu,\sigma\colon\mathbb{R}\to\mathbb{R} be continuous, and let XX solve

Xt=ξ0,1+0tμ(Xs)ds+0tσ(Xs)dWs0,1.X_t=\xi^{0,1}+\int_0^t\mu(X_s)\,ds+\int_0^t\sigma(X_s)\,dW_s^{0,1}.

Define the Euler approximations by Y0N,l,k=ξl,kY_0^{N,l,k}=\xi^{l,k} and

Yn+1N,l,k=YnN,l,k+μ(YnN,l,k)TN+σ(YnN,l,k)(W(n+1)TNl,kWnTNl,k).Y_{n+1}^{N,l,k}=Y_n^{N,l,k}+\mu(Y_n^{N,l,k})\frac{T}{N}+\sigma(Y_n^{N,l,k})\left(W_{\frac{(n+1)T}{N}}^{l,k}-W_{\frac{nT}{N}}^{l,k}\right).

Assume that α,c(1,)\alpha,c\in(1,\infty) satisfy

xαcμ(x)+σ(x)cxc\frac{|x|^\alpha}{c}\leq|\mu(x)|+|\sigma(x)|\leq c|x|^c

for all xRx\in\mathbb{R} with xc|x|\geq c, and assume either P[σ(ξ0,1)0]>0\mathbb{P}[\sigma(\xi^{0,1})\neq0]>0 or that there exists β(1,)\beta\in(1,\infty) such that P[ξ0,1x]βxβ\mathbb{P}[|\xi^{0,1}|\geq x]\geq\beta^{-x^\beta} for all x[1,)x\in[1,\infty). Let f ⁣:RRf\colon\mathbb{R}\to\mathbb{R} be measurable and satisfy c1x1/ccf(x)c(1+xc)c^{-1}|x|^{1/c}-c\leq f(x)\leq c(1+|x|^c). Divergence with probability one of the multilevel Monte Carlo Euler method. Then

limNld(N)NE[f(XT)]1Nk=1Nf(Y11,0,k)l=1ld(N)2lN(k=1N/2lf(Y2l2l,l,k)f(Y2l12l1,l,k))=\lim_{\substack{N\to\infty\\ \operatorname{ld}(N)\in\mathbb{N}}}\left|\mathbb{E}[f(X_T)]-\frac1N\sum_{k=1}^Nf(Y_1^{1,0,k})-\sum_{l=1}^{\operatorname{ld}(N)}\frac{2^l}{N}\left(\sum_{k=1}^{N/2^l}f(Y_{2^l}^{2^l,l,k})-f(Y_{2^{l-1}}^{2^{l-1},l,k})\right)\right|=\infty

P\mathbb{P}-almost surely. The conjecture asserts almost-sure divergence of the multilevel Monte Carlo Euler estimator for nonlinear stochastic differential equations whose coefficients grow superlinearly. The paper presents this as a pathwise divergence phenomenon motivated by numerical experiments; the supplied text does not establish its resolution.

Sources & referencesView supporting material

Primary source

Martin Hutzenthaler, Arnulf Jentzen and Peter E. Kloeden, “Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations”, arXiv:1105.0226 (2013).

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