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Unbiased Estimation with Square Root Convergence for SDE Models
5 references·7 citing·33 second hop
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this work references cited by second hop

References

  • 2016Numerical solution of stochastic differential equations5,001 cited
  • 2008Multilevel Monte Carlo Path Simulation1,436 cited
  • 1992The Asymptotic Efficiency of Simulation Estimators215 cited
  • 2007Improved Multilevel Monte Carlo Convergence using the Milstein Scheme205 cited
  • 2014A continuation multilevel Monte Carlo algorithm121 cited

Cited by

  • 2016Robust Sensitivity Analysis for Stochastic Systems126 cited
  • 2024Modern Bayesian Experimental Design110 cited
  • 2020Efficient Simulation of Generalized SABR and Stochastic Local Volatility Models based on Markov Chain Approximations41 cited
  • 2018Exact simulation of the Ornstein–Uhlenbeck driven stochastic volatility model31 cited
  • 2017Unbiased simulation of stochastic differential equations30 cited
  • 2017Unbiased simulation of stochastic differential equations using parametrix expansions28 cited
  • 2019Recycling Samples in the Multigrid Multilevel (Quasi-)Monte Carlo Method14 cited

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