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Publication# Stabilized Numerical Methods for Stochastic Differential Equations driven by Diffusion and Jump-Diffusion Processes

Abstract

Stochastic models that account for sudden, unforeseeable events play a crucial role in many different fields such as finance, economics, biology, chemistry, physics and so on. That kind of stochastic problems can be modeled by stochastic differential equations driven by jump-diffusion processes. In addition, there are situations, where a stochastic model is based on stochastic differential equations with multiple scales. Such stochastic problems are called stiff and lead for classical explicit integrators such as the Euler-Maruyama method to time stepsize restrictions due to stability issues. This opens the door for stabilized explicit numerical methods to efficiently tackle such situations. In this thesis we introduce first a stabilized multilevel Monte Carlo method for stiff stochastic differential equations. Using S-ROCK methods we show that this approach is very efficient for stochastic problems with multiple scales, but also for nonstiff problems with a significant noise part. Further, we present an improved version of the stabilized multilevel Monte Carlo method by considering S-ROCK methods with a higher weak order of convergence. Then we extend the S-ROCK methods to jump-diffusion processes. We study in detail the strong order of convergence of the newly introduced methods and we discuss the corresponding mean square stability domains. In the next part we present the multilevel Monte Carlo method for jump-diffusion processes. We state and prove a theorem that indicates the computational cost required to achieve a certain mean square accuracy. In the numerical section we compare the multilevel Monte Carlo approach to two variance reduction techniques, the antithetic and the control variates. We also show how the S-ROCK method for jump-diffusion processes, introduced in this thesis, can be used to create a stabilized multilevel Monte Carlo method for jump-diffusions that handles stiffness and considers the inclusion of jumps at the same time. Finally, we propose in this thesis a variable time stepping algorithm that uses S-ROCK methods to approximate weak solutions of stiff stochastic differential equations. A rigorous analytical study is carried out to derive a computable leading term of the time discretization error and an adaptive algorithm is suggested that adapts the time grid and adjusts the number of stages of the S-ROCK method simultaneously.

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Related publications (2)

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Related concepts (7)

Stochastic differential equation

A stochastic differential equation (SDE) is a differential equation in which one or more of the terms is a stochastic process, resulting in a solution which is also a stochastic process. SDEs have many applications throughout pure mathematics and are used to model various behaviours of stochastic models such as stock prices, random growth models or physical systems that are subjected to thermal fluctuations. SDEs have a random differential that is in the most basic case random white noise calculated as the derivative of a Brownian motion or more generally a semimartingale.

Stochastic process

In probability theory and related fields, a stochastic (stəˈkæstɪk) or random process is a mathematical object usually defined as a sequence of random variables, where the index of the sequence has the interpretation of time. Stochastic processes are widely used as mathematical models of systems and phenomena that appear to vary in a random manner. Examples include the growth of a bacterial population, an electrical current fluctuating due to thermal noise, or the movement of a gas molecule.

Monte Carlo method

Monte Carlo methods, or Monte Carlo experiments, are a broad class of computational algorithms that rely on repeated random sampling to obtain numerical results. The underlying concept is to use randomness to solve problems that might be deterministic in principle. They are often used in physical and mathematical problems and are most useful when it is difficult or impossible to use other approaches. Monte Carlo methods are mainly used in three problem classes: optimization, numerical integration, and generating draws from a probability distribution.

Warm-up for EPFL

Warmup EPFL est destiné aux nouvelles étudiantes et étudiants de l'EPFL.

João Miguel De Oliveira Durães Alves Martins

Safety assessments of road bridges to braking events combine the braking force, acting along the longitudinal axis of the deck, with a vertical load that accounts for the vertical component of the traffic action. In modern design standards the vertical load models result from probabilistic calibration procedures targeting predefined return periods. On the contrary, the braking force was derived from a deterministic characterization of the vehicle configurations and of the braking process. Therefore, the return period of the braking force is unclear and may not be consistent with that of the vertical load model. Significant deviations from the target return period might lead to either uneconomical decisions, e.g. uncalled-for retrofitting interventions, or to inaccurate structural safety verifications. This thesis presents an original stochastic model to compute site-specific values of the braking force as a function of the return period. The developed stochastic model takes into account the length of the bridge deck and its dynamic properties for vibrations in the longitudinal direction, as well as different sources of randomness related to braking events, all of which comply with real-world measurements, including: - vehicle configurations, resorting to a time-history of crossing vehicles; - driver response times, randomly generated from probability distributions defined in the scope of this project; - deceleration profiles of the vehicles, resampled from catalogues of realistic deceleration profiles. The stochastic model uses Monte Carlo simulation of braking events and computes the maximum of the dynamic response of the bridge to each event. The computed maxima are collected in an empirical distribution function of the braking force. In the end, the model returns the quantile of this distribution that is suitable for safety assessments. This value of braking force is specific to the bridge given properties, to the traffic characteristics, and to the target return period. An additional novelty of this research work is the estimation of a rate of occurrence on motorways of braking events per vehicle-distance travelled. This parameter enables the estimation of the period of time covered by the simulations of braking events as a function of traffic flow and of the total number of braking events simulated. This step is fundamental to determine the value of the braking force that has a given return period. The braking forces returned by the stochastic model show significant dependence on the bridge length, the natural vibration period of the deck in the longitudinal direction, and the number of directions of traffic on the deck. On the contrary, damping ratio, traffic on the fast-lane or on weekends, and an augmentation of traffic in 20% show no substantial influence on the braking force. Moreover, the two motorway locations considered as sources of traffic data, Denges and Monte Ceneri, both in Switzerland, yielded braking forces with similar magnitudes, despite the significant differences in traffic characteristics. Finally, the results compiled served to calibrate an updated braking force that depends explicitly on the parameters found relevant, as well as on the return period so that it can be adopted by different standards even if they enforce different safety targets. This updated expression evidences that the braking forces of current codes tend to be conservative and, hence, can be improved based on the findings of this project.

Mathematical and numerical aspects of viscoelastic flows are investigated here. Two simplified mathematical models are considered. They are motivated by a splitting algorithm for solving viscoelastic flows with free surfaces. The first model is a simplified Oldroyd-B model. Existence on a fixed time interval is proved in several Banach spaces provided the data are small enough. Short time existence is also proved for arbitrarily large data in Hölder spaces for the time variable. These results are based on the maximal regularity property of the Stokes operator and on the analycity behavior of the corresponding semi-group. A finite element discretization in space is then proposed. Existence of the numerical solution is proved for small data, as well as a priori error estimates, using an implicit function theorem framework. Then, the extension of these results to a stochastic simplified Hookean dumbbells model is discussed. Because of the presence of the Brownian motion, existence in a fixed time interval, provided the data are small enough, is proved only in some of the Banach spaces considered previously. The dumbbells' elongation is split in two parts, one satisfying a standart stochastic differential equation, the other satisfying a partial differential equation with a stochastic source term. A finite element discretization in space is also proposed. Existence of the numerical solution is proved for small data, as well as a priori error estimates. A numerical algorithm for solving viscoelastic flows with free surfaces is also described. This algorithm is based on a splitting method in time and two different meshes are used for the space discretization. Convergence of the numerical model is checked for the pure extensional flow and the filling of a pipe. Then, numerical results are reported for the stretching of a filament and for jet buckling.