From Rough Path Estimates to Multilevel Monte Carlo (Q2807285): Difference between revisions

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+W3098677150
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+.5779
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+Pricing under rough volatility
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+Multilevel dual approach for pricing American style derivatives
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+Densities for rough differential equations under Hörmander's condition
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+Integrability and tail estimates for Gaussian rough differential equations
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+A continuation multilevel Monte Carlo algorithm
@@ Property / cites work: A continuation multilevel Monte Carlo algorithm / rank @@
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+Stochastic analysis, rough path analysis and fractional Brownian motions.
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+Differential Equations Driven by Rough Paths: An Approach via Discrete Approximation
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+A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion
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+The Jain-Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory
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+A course on rough paths. With an introduction to regularity structures
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+Integrability of (Non-)Linear Rough Differential Equations and Integrals
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+Convergence rates for the full Gaussian rough paths
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+Differential equations driven by Gaussian signals
@@ Property / cites work: Differential equations driven by Gaussian signals / rank @@
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+Multidimensional Stochastic Processes as Rough Paths
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+Volatility is rough
@@ Property / cites work: Volatility is rough / rank @@
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+Q3504233
@@ Property / cites work: Q3504233 / rank @@
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+Multilevel Monte Carlo Path Simulation
@@ Property / cites work: Multilevel Monte Carlo Path Simulation / rank @@
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+Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
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+Asymptotic Behavior of the Fractional Heston Model
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+Regularity of laws and ergodicity of hypoelliptic SDEs driven by rough paths
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+Q4004325
@@ Property / cites work: Q4004325 / rank @@
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+Differential equations driven by rough paths. Ecole d'Eté de Probabilités de Saint-Flour XXXIV -- 2004. Lectures given at the 34th probability summer school, July 6--24, 2004.
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+System Control and Rough Paths
@@ Property / cites work: System Control and Rough Paths / rank @@
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+Mersenne twister
@@ Property / cites work: Mersenne twister / rank @@
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+Variable Subspace Sampling and Multi-level Algorithms
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+Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution
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