SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Multi-level stochastic approximation algorithms
13 references·1 citing·36 second hop
Multi-level stochastic approximation algorithms (2016)Multi-level stochastic approximation algo…Central limit theorem for the multilevel Monte Carlo Euler method (2014)Central limit theorem for the…Concentration bounds for stochastic approximations (2012)Concentration bounds for stoc…Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction (2010)Multilevel Monte Carlo algori…Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling (2009)Computing VaR and CVaR using …Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff (2009)Analysing multi-level Monte C…Multilevel Monte Carlo Path Simulation (2008)Multilevel Monte Carlo Path S…Improved Multilevel Monte Carlo Convergence using the Milstein Scheme (2007)Improved Multilevel Monte Car…STOCHASTIC APPROXIMATION (2005)STOCHASTIC APPROXIMATIONStatistical Romberg extrapolation: A new variance reduction method and applications to option pricing (2005)Statistical Romberg extrapola…Asymptotic error distributions for the Euler method for stochastic differential equations (1998)Asymptotic error distribution…Efficient Monte Carlo Simulation of Security Prices (1995)Efficient Monte Carlo Simulat…Acceleration of Stochastic Approximation by Averaging (1992)Acceleration of Stochastic Ap…A Stochastic Approximation Method (1951)A Stochastic Approximation Me…General multilevel adaptations for stochastic approximation algorithms of Robbins–Monro and Polyak–Ruppert type (2019)General multilevel adaptation…Limit Theorems for Stochastic Processes (1987)Stochastic Integration and Differential Equations (1990)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales (2005)Stochastic Integration and Differential Equations (2005)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Lévy Processes and Stochastic Calculus (2004)Least-Squares Monte Carlo for Backward SDEs (2012)Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations (2013)Numerical simulations and modeling for stochastic biological systems with jumps (2013)Numerical solution of stochastic differential equations (2016)Monte Carlo Methods in Financial Engineering (2003)Stochastic differential equations and applications (2008)Multilevel Monte Carlo Approximation of Distribution Functions and Densities (2015)An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients (2016)Monte Carlo methods for security pricing (1997)Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients (2012)On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone coefficients (2020)Stochastic Estimation of the Maximum of a Regression Function (1952)Stochastic Approximation Methods for Constrained and Unconstrained Systems (1978)Optimization of computer simulation models with rare events (1997)Lectures on Stochastic Programming: Modeling and Theory (2009)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Multi-level Monte Carlo Finite Element method for elliptic PDEs with stochastic coefficients (2011)Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients (2012)Optimal Model Management for Multifidelity Monte Carlo Estimation (2016)Some aspects of the sequential design of experiments (1952)Lectures on Stochastic Programming (2009)mirt : A Multidimensional Item Response Theory Package for the R Environment (2012)Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes (2006)An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process (2011)Monte Carlo and Quasi-Monte Carlo Methods (2013)Unbiased Estimation with Square Root Convergence for SDE Models (2015)Implementation of the simultaneous perturbation algorithm for stochastic optimization (1998)Simulation Budget Allocation for Further Enhancing the Efficiency of Ordinal Optimization (2000)Proceedings of the 2002 Winter Simulation Conference (2002)
this work references cited by second hop

References

  • 1951A Stochastic Approximation Method9,630 cited
  • 1992Acceleration of Stochastic Approximation by Averaging1,822 cited
  • 2008Multilevel Monte Carlo Path Simulation1,445 cited
  • 2005STOCHASTIC APPROXIMATION618 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
  • 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
  • 2009Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling72 cited
  • 2012Concentration bounds for stochastic approximations36 cited
  • 2014Central limit theorem for the multilevel Monte Carlo Euler method34 cited

Cited by

  • 2019General multilevel adaptations for stochastic approximation algorithms of Robbins–Monro and Polyak–Ruppert type21 cited

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