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Analysis of a micro–macro acceleration method with minimum relative entropy moment matching

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  • Lelièvre, Tony
  • Samaey, Giovanni
  • Zieliński, Przemysław

Abstract

We analyse convergence of a micro–macro acceleration method for the simulation of stochastic differential equations with time-scale separation. The method alternates short bursts of path simulations with the extrapolation of macroscopic state variables forward in time. After extrapolation, a new microscopic state is constructed, consistent with the extrapolated macroscopic state, that minimises the perturbation caused by the extrapolation in a relative entropy sense. We study local errors and numerical stability of the method to prove its convergence to the full microscopic dynamics when the extrapolation time step tends to zero and the number of macroscopic state variables tends to infinity.

Suggested Citation

  • Lelièvre, Tony & Samaey, Giovanni & Zieliński, Przemysław, 2020. "Analysis of a micro–macro acceleration method with minimum relative entropy moment matching," Stochastic Processes and their Applications, Elsevier, vol. 130(6), pages 3753-3801.
    • Handle: RePEc:eee:spapps:v:130:y:2020:i:6:p:3753-3801
    DOI: 10.1016/j.spa.2019.10.008
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    References listed on IDEAS

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    1. Marco Avellaneda, 1998. "Minimum-Relative-Entropy Calibration of Asset-Pricing Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 1(04), pages 447-472.
    2. Marco Avellaneda & Craig Friedman & Richard Holmes & Dominick Samperi, 1997. "Calibrating volatility surfaces via relative-entropy minimization," Applied Mathematical Finance, Taylor & Francis Journals, vol. 4(1), pages 37-64.
    3. Ilg, Patrick & Karlin, Iliya V. & Öttinger, Hans Christian, 2002. "Canonical distribution functions in polymer dynamics. (I). Dilute solutions of flexible polymers," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 315(3), pages 367-385.
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