Multilevel Monte Carlo methods for the Dean-Kawasaki equation from Fluctuating Hydrodynamics

Stochastic PDEs of Fluctuating Hydrodynamics are a powerful tool for the description of fluctuations in many-particle systems. In this paper, we develop and analyze a Multilevel Monte Carlo (MLMC) scheme for the Dean-Kawasaki equation, a pivotal representative of this class of SPDEs. We prove analytically and demonstrate numerically that our MLMC scheme provides a significant speed-up (with respect to a standard Monte Carlo method) in the simulation of the Dean-Kawasaki equation. Specifically, we quantify how the speed-up factor increases as the average particle density increases, and show that sizeable speed-ups can be obtained even in regimes of low particle density. Numerical simulations are provided in the two-dimensional case, confirming our theoretical predictions. Our results are formulated entirely in terms of the law of distributions rather than in terms of strong spatial norms: this crucially allows for MLMC speed-ups altogether despite the Dean-Kawasaki equation being highly singular.