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Antithetic Multilevel Monte Carlo Estimation for Multidimensional SDEs
9 references·0 citing·26 second hop
Antithetic Multilevel Monte Carlo Estimation for Multidimensional SDEs (2013)Antithetic Multilevel Monte Carlo Estimat…Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation (2014)Antithetic multilevel Monte C…Multilevel Monte Carlo Path Simulation (2008)Multilevel Monte Carlo Path S…Improved Multilevel Monte Carlo Convergence using the Milstein Scheme (2007)Improved Multilevel Monte Car…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…The optimal uniform approximation of systems of stochastic differential equations (2002)The optimal uniform approxima…Strong approximation of systems of stochastic differential equations (2002)Strong approximation of syste…On the simulation of iterated Itô integrals (2001)On the simulation of iterated…Joint characteristic function and simultaneous simulation of iterated Itô integrals for multiple independent Brownian motions (2001)Joint characteristic function…Random Generation of Stochastic Area Integrals (1994)Random Generation of Stochast…Numerical solution of stochastic differential equations (2016)Expansion of Iterated Ito Stochastic Integrals of Arbitrary Multiplicity Based on Generalized Multiple Fourier Series Converging in the Mean (2017)First-order convergence of Milstein schemes for McKean–Vlasov equations and interacting particle systems (2021)Discretization and simulation of stochastic differential equations (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)From Rough Path Estimates to Multilevel Monte Carlo (2016)Multilevel Richardson–Romberg extrapolation (2017)Modern Bayesian Experimental Design (2024)Methods of Mathematical Finance (1998)The Optimal Discretization of Stochastic Differential Equations (2001)On the Moments of the Modulus of Continuity of Itô Processes (2009)Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients (2012)Multilevel Monte Carlo Approximation of Distribution Functions and Densities (2015)On simulation from infinitely divisible distributions (1982)Numerical solution of stochastic differential equations (1994)On the density of log-spot in the Heston volatility model (2010)Expansion of Iterated Stratonovich Stochastic Integrals of Arbitrary Multiplicity Based on Generalized Iterated Fourier Series Converging Pointwise (2018)Optimal pointwise approximation of SDE’s from inexact information (2017)Sharp lower error bounds for strong approximation of SDEs with discontinuous drift coefficient by coupling of noise (2023)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process (2011)Monte Carlo and Quasi-Monte Carlo Methods (2013)Unbiased Estimation with Square Root Convergence for SDE Models (2015)Multi-level Monte Carlo Finite Element method for elliptic PDEs with stochastic coefficients (2011)Optimal Model Management for Multifidelity Monte Carlo Estimation (2016)
this work references cited by second hop

References

  • 2003Monte Carlo Methods in Financial Engineering3,917 cited
  • 2008Multilevel Monte Carlo Path Simulation1,445 cited
  • 2007Improved Multilevel Monte Carlo Convergence using the Milstein Scheme205 cited
  • 2001Joint characteristic function and simultaneous simulation of iterated Itô integrals for multiple independent Brownian motions133 cited
  • 2014Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation109 cited
  • 1994Random Generation of Stochastic Area Integrals99 cited
  • 2002The optimal uniform approximation of systems of stochastic differential equations71 cited
  • 2001On the simulation of iterated Itô integrals47 cited
  • 2002Strong approximation of systems of stochastic differential equations27 cited

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