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Mean Exit Times and the Multilevel Monte Carlo Method
16 references·4 citing·38 second hop
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References

  • 2016Numerical solution of stochastic differential equations5,001 cited
  • 2008Stochastic differential equations and applications4,595 cited
  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 2008Multilevel Monte Carlo Path Simulation1,436 cited
  • 1990Numerical Methods for Stochastic Control Problems in Continuous Time1,400 cited
  • 1986Irreversible Investment, Capacity Choice and the Value of the Firm1,296 cited
  • 1996Testing Continuous-Time Models of the Spot Interest Rate923 cited
  • 1987Time to build, option value, and investment decisions912 cited
  • 1997Monte Carlo methods for security pricing856 cited
  • 2011Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients490 cited
  • 1997Investment in technological innovations: An option pricing approach357 cited
  • 2011Multi-level Monte Carlo Finite Element method for elliptic PDEs with stochastic coefficients296 cited
  • 1990Valuing Flexibility as a Complex Option287 cited
  • 1997Short-Term Interest Rates as Subordinated Diffusions263 cited

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  • 1993Hedging Contingent Claims with Constrained Portfolios250 cited
  • Cited by

    • 2014Complexity of Multilevel Monte Carlo Tau-Leaping29 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
    • 2015Quickest Detection with Discretely Controlled Observations10 cited