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ArticleMultilevel Monte Carlo method for ergodic SDEs without contractivity

Wei Fang2019

OA

Articlebronze2019

Multilevel Monte Carlo method for ergodic SDEs without contractivity

Wei Fang · Michael B. Giles

21 citations·0/0 files stored·Journal of Mathematical Analysis and Applications

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

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References

2016Numerical solution of stochastic differential equations 2008Stochastic differential equations and applications 2008Multilevel Monte Carlo Path Simulation 2014Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients 1982Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times 2006Chapter 11 Rare-Event Simulation Techniques: An Introduction and Recent Advances 2013Monte Carlo and Quasi-Monte Carlo Methods 2017Unbiased simulation of stochastic differential equations using parametrix expansions

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Year2019

Typearticle

Published2019-01-16

VenueJournal of Mathematical Analysis and Applications

ISSN-L0022-247X

Languageen

Citations21

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jmaa.2018.12.032

openalex_workW2963575831

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