On the numerical integration of the Lorenz-96 model, with scalar additive noise, for benchmark twin experiments

Relatively little attention has been given to the impact of discretization error on twin experiments in the stochastic form of the Lorenz-96 equations when the dynamics are fully resolved but random. We study a simple form of the stochastically forced Lorenz-96 equations that is amenable to higher-order time-discretization schemes in order to investigate these effects. We provide numerical benchmarks for the overall discretization error, in the strong and weak sense, for several commonly used integration schemes and compare these methods for biases introduced into ensemble-based statistics and filtering performance. The distinction between strong and weak convergence of the numerical schemes is focused on, highlighting which of the two concepts is relevant based on the problem at hand. Using the above analysis, we suggest a mathematically consistent framework for the treatment of these discretization errors in ensemble forecasting and data assimilation twin experiments for unbiased and computationally efficient benchmark studies. Pursuant to this, we provide a novel derivation of the order 2.0 strong Taylor scheme for numerically generating the truth twin in the stochastically perturbed Lorenz-96 equations.

Separate Time Integration Based on the Hilber, Hughes, Taylor Scheme for Flexible Bodies With a Large Number of Modes

In the current development of flexible multibody dynamics, the efficient and accurate consideration of distributed and nonlinear forces is an active area of research. Examples are, forces due to body-body contact or due to elastohydrodynamics (EHD). This leads to many additional modes for representing the local deformations in the areas on which those forces act. Recent publications show that these can be several hundred to several thousand additional modes. A conventional, monolithic numerical time integration scheme would lead to unacceptable computing times. This paper presents a method for an efficient time integration of such systems. The core idea is to treat the equations associated with modes representing local deformations separately. Using the Newmark formulas, a fixed point iteration is proposed for these separated equations, which can always be stabilized with decreasing step size. The concluding examples underline this property, as well as the fact that the proposed method massively outperforms the conventional, monolithic time integration with increasing number of modes.

On the numerical integration of the Lorenz-96 model, with scalar additive noise, for benchmark twin experiments

Relatively little attention has been given to the impact of discretization error on twin experiments in the stochastic form of the Lorenz-96 equations when the dynamics are fully resolved but random. We study a simple form of the stochastically forced Lorenz-96 equations that is amenable to higher order time-discretization schemes in order to investigate these effects. We provide numerical benchmarks for the overall discretization error, in the strong and weak sense, for several commonly used integration schemes and compare these methods for biases introduced into ensemble-based statistics and filtering performance. Focus is given to the distinction between strong and weak convergence of the numerical schemes, highlighting which of the two concepts is relevant based on the problem at hand. Using the above analysis, we suggest a mathematically consistent framework for the treatment of these discretization errors in ensemble forecasting and data assimilation twin experiments for unbiased and computationally efficient benchmark studies. Pursuant to this, we provide a novel derivation of the order 2.0 strong Taylor scheme for numerically generating the truth-twin in the stochastically perturbed Lorenz-96 equations.

EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL

We provide efficient swaption volatility approximations for longer maturities and tenors under the lognormal forward-LIBOR model (LFM). In particular, we approximate the swaption volatility with a mean update of the spanning forward rates. Since the joint distribution of the forward rates is not known under a typical pricing measure, we resort to numerical discretization techniques. More specifically, we approximate the mean forward rates with a multi-dimensional weak order 2.0 Itō–Taylor scheme. The higher-order terms allow us to more accurately capture the state dependence in the drift terms and compute conditional expectations with second-order accuracy. We test our approximations for longer maturities and tenors using a quasi-Monte Carlo (QMC) study and find them to be substantially more effective when compared to the existing approximations, particularly for calibration purposes.

Itô-Taylor Schemes for Solving Mean-Field Stochastic Differential Equations

This paper is devoted to numerical methods for mean-field stochastic differential equations (MSDEs). We first develop the mean-field Itô formula and mean-field Itô-Taylor expansion. Then based on the new formula and expansion, we propose the Itô-Taylor schemes of strong order γ and weak order η for MSDEs, and theoretically obtain the convergence rate γ of the strong Itô-Taylor scheme, which can be seen as an extension of the well-known fundamental strong convergence theorem to the mean-field SDE setting. Finally some numerical examples are given to verify our theoretical results.

A Numerical Method and its Error Estimates for the Decoupled Forward-Backward Stochastic Differential Equations

In this paper, a new numerical method for solving the decoupled forward-backward stochastic differential equations (FBSDEs) is proposed based on some specially derived reference equations. We rigorously analyze errors of the proposed method under general situations. Then we present error estimates for each of the specific cases when some classical numerical schemes for solving the forward SDE are taken in the method; in particular, we prove that the proposed method is second-order accurate if used together with the order-2.0 weak Taylor scheme for the SDE. Some examples are also given to numerically demonstrate the accuracy of the proposed method and verify the theoretical results.