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Antithetic Multilevel Monte Carlo Estimation for Multidimensional SDEs · Study

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ChapterAntithetic Multilevel Monte Carlo Estimation for Multidimensional SDEs

Michael B. Giles2013

Chapter2013

Antithetic Multilevel Monte Carlo Estimation for Multidimensional SDEs

Michael B. Giles · Łukasz Szpruch

15 citations·0/0 files stored·Springer proceedings in mathematics & statistics

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Stochastic processes and financial applications Numerical methods for differential equations Mathematical Approximation and Integration

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References

2003Monte Carlo Methods in Financial Engineering 2008Multilevel Monte Carlo Path Simulation 2007Improved Multilevel Monte Carlo Convergence using the Milstein Scheme 2001Joint characteristic function and simultaneous simulation of iterated Itô integrals for multiple independent Brownian motions 2014Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation 1994Random Generation of Stochastic Area Integrals 2002The optimal uniform approximation of systems of stochastic differential equations 2001On the simulation of iterated Itô integrals

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Details

Year2013

Typechapter

Published2013-01-01

VenueSpringer proceedings in mathematics & statistics

ISSN-L2194-1009

Languageen

Citations15

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-642-41095-6_16

openalex_workW164361892

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