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Coupling Importance Sampling and Multilevel Monte Carlo using Sample Average Approximation · Study

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ArticleCoupling Importance Sampling and Multilevel Monte Carlo using Sample Average Approximation

Ahmed Kebaier2017

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Coupling Importance Sampling and Multilevel Monte Carlo using Sample Average Approximation

Ahmed Kebaier · Jérôme Lelong

20 citations·0/0 files stored·Methodology And Computing In Applied Probability

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Stochastic processes and financial applications Markov Chains and Monte Carlo Methods Mathematical Approximation and Integration

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References

2008Multilevel Monte Carlo Path Simulation 1998Asymptotic error distributions for the Euler method for stochastic differential equations 2007Improved Multilevel Monte Carlo Convergence using the Milstein Scheme 1995Efficient Monte Carlo Simulation of Security Prices 2005Statistical Romberg extrapolation: A new variance reduction method and applications to option pricing 2014A continuation multilevel Monte Carlo algorithm 1987Convergence and robustness of the Robbins-Monro algorithm truncated at randomly varying bounds 2014Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation

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Year2017

Typearticle

Published2017-07-21

VenueMethodology And Computing In Applied Probability

ISSN-L1387-5841

Languageen

Citations20

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s11009-017-9579-y

openalex_workW2185676580

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