Quadrature of Lipschitz Functionals and Approximation of Distributions

19 November 2007
We study randomized (i.e. Monte Carlo) algorithms to compute expectations of Lipschitz functionals w.r.t. measures on infinite-dimensional spaces, e.g., Gaussian measures or distribution of diffusion processes. We determine the order of minimal errors and corresponding almost optimal algorithms for three different sampling regimes: fixed-subspace-sampling, variable-subspace-sampling, and full-space sampling. It turns out that these minimal errors are closely related to quantization numbers and Kolmogorov widths for the underlying measure. For variable-subspace-sampling suitable multi-level Monte Carlo methods, which have recently been introduced by Giles, turn out to be almost optimal. Joint work with Jakob Creutzig (Darmstadt), Steffen Dereich (Bath), Thomas Müller-Gronbach (Magdeburg)
  • Stochastic Analysis Seminar