Adaptive methods for stochastic differential equations via natural embeddings and rejection sampling with memory

Abstract

Adaptive time-stepping with high-order embedded Runge-Kutta pairs and rejection sampling provides efficient approaches for solving differential equations. While many such methods exist for solving deterministic systems, little progress has been made for stochastic variants. One challenge in developing adaptive methods for stochastic differential equations (SDEs) is the construction of embedded schemes with direct error estimates. We present a new class of embedded stochastic Runge-Kutta (SRK) methods with strong order 1.5 which have a natural embedding of strong order 1.0 methods. This allows for the derivation of an error estimate which requires no additional function evaluations. Next we derive a general method to reject the time steps without losing information about the future Brownian path termed Rejection Sampling with Memory (RSwM). This method utilizes a stack data structure to do rejection sampling, costing only a few floating point calculations. We show numerically that the methods generate statistically-correct and tolerance-controlled solutions. Lastly, we show that this form of adaptivity can be applied to systems of equations, and demonstrate that it solves a stiff biological model 12.28x faster than common fixed timestep algorithms. Our approach only requires the solution to a bridging problem and thus lends itself to natural generalizations beyond SDEs.