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Multilevel Monte Carlo Approximation of Distribution Functions and Densities
12 references·7 citing·41 second hop
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References

  • 2008Multilevel Monte Carlo Path Simulation1,436 cited
  • 2004Stochastic Calculus for Finance II: Continuous-Time Models1,104 cited
  • 1998Asymptotic error distributions for the Euler method for stochastic differential equations400 cited
  • 1996The law of the Euler scheme for stochastic differential equations375 cited
  • 2007Improved Multilevel Monte Carlo Convergence using the Milstein Scheme205 cited
  • 1996The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density187 cited
  • 2005Statistical Romberg extrapolation: A new variance reduction method and applications to option pricing134 cited
  • 2010Dual pricing of multi-exercise options under volume constraints104 cited
  • 2010Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction98 cited
  • 2009On irregular functionals of SDEs and the Euler scheme85 cited
  • 2009Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff78 cited
  • 2002The optimal uniform approximation of systems of stochastic differential equations71 cited

Cited by

  • 2016An improved multilevel Monte Carlo method for estimating probability distribution functions in stochastic oil reservoir simulations33 cited
  • 2020Estimation of distributions via multilevel Monte Carlo with stratified sampling

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30 cited
  • 2020Multilevel Monte Carlo applied for uncertainty quantification in stochastic multiscale systems19 cited
  • 2017Multilevel Monte Carlo applied to chemical engineering systems subject to uncertainty15 cited
  • 2019Multifidelity approaches for uncertainty quantification15 cited
  • 2020Accelerated Multilevel Monte Carlo With Kernel‐Based Smoothing and Latinized Stratification15 cited
  • 2018Uncertainty quantification on the macroscopic properties of heterogeneous porous media13 cited