Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Central limit theorem for the multilevel Monte Carlo Euler method

11 references·2 citing·35 second hop

FromToDepth

this work references cited by second hop

References

2005Stochastic Integration and Differential Equations4,594 cited
2008Multilevel Monte Carlo Path Simulation1,436 cited
1990Stochastic Integration and Differential Equations1,195 cited
1998Asymptotic error distributions for the Euler method for stochastic differential equations400 cited
2007Improved Multilevel Monte Carlo Convergence using the Milstein Scheme205 cited
1995Efficient Monte Carlo Simulation of Security Prices173 cited
2010Monte Carlo Methods and Models in Finance and Insurance165 cited
2005Statistical Romberg extrapolation: A new variance reduction method and applications to option pricing134 cited
2010Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction98 cited
2009Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff78 cited
2013Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations78 cited

Cited by

2017Unbiased simulation of stochastic differential equations30 cited
2016Multi-level stochastic approximation algorithms23 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work