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arXiv · 2409.09821

Forward Propagation of Low Discrepancy Through McKean-Vlasov Dynamics: From QMC to MLQMC

Nadhir Ben Rached·Abdul-Lateef Haji-Ali·Raúl Tempone·Leon Wilkosz
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Abstract

This work develops a particle system addressing the approximation of McKean-Vlasov stochastic differential equations (SDEs). The novelty of the approach lies in involving low discrepancy sequences nontrivially in the construction of a particle system with coupled noise and initial conditions. Weak convergence for SDEs with additive noise is proven. A numerical study demonstrates that the novel approach presented here doubles the respective convergence rates for weak and strong approximation of the mean-field limit, compared with the standard particle system. These rates are proven in the simplified setting of a mean-field ordinary differential equation in terms of appropriate bounds involving the star discrepancy for low discrepancy sequences with a group structure, such as Rank-1 lattice points. This construction nontrivially provides an antithetic multilevel quasi-Monte Carlo estimator. An asymptotic error analysis reveals that the proposed approach outperforms methods based on the classic particle system with independent initial conditions and noise.

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Nadhir Ben Rached, Abdul-Lateef Haji-Ali, Raúl Tempone, Leon Wilkosz. 2024-09-15. Forward Propagation of Low Discrepancy Through McKean-Vlasov Dynamics: From QMC to MLQMC. https://arxiv.org/abs/2409.09821

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