Construction of a Mean Square Error Adaptive Euler–Maruyama Method With Applications in Multilevel Monte Carlo (Q2957024): Difference between revisions

@@ Property / cites work @@
+On irregular functionals of SDEs and the Euler scheme
+Normal rank
@@ Property / cites work @@
+Q4797885
@@ Property / cites work: Q4797885 / rank @@
+Normal rank
@@ Property / cites work @@
+Multilevel Monte Carlo method with applications to stochastic partial differential equations
+Normal rank
@@ Property / cites work @@
+Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients
+Normal rank
@@ Property / cites work @@
+A continuation multilevel Monte Carlo algorithm
@@ Property / cites work: A continuation multilevel Monte Carlo algorithm / rank @@
+Normal rank
@@ Property / cites work @@
+Probability
@@ Property / cites work: Probability / rank @@
+Normal rank
@@ Property / cites work @@
+Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Multilevel Monte Carlo Path Simulation
@@ Property / cites work: Multilevel Monte Carlo Path Simulation / rank @@
+Normal rank
@@ Property / cites work @@
+Multilevel Monte Carlo Methods
@@ Property / cites work: Multilevel Monte Carlo Methods / rank @@
+Normal rank
@@ Property / cites work @@
+Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
+Normal rank
@@ Property / cites work @@
+Q4433608
@@ Property / cites work: Q4433608 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimization of mesh hierarchies in multilevel Monte Carlo samplers
+Normal rank
@@ Property / cites work @@
+Monte Carlo complexity of global solution of integral equations
+Normal rank
@@ Property / cites work @@
+Monte Carlo complexity of parametric integration
@@ Property / cites work: Monte Carlo complexity of parametric integration / rank @@
+Normal rank
@@ Property / cites work @@
+Implementation and analysis of an adaptive multilevel Monte Carlo algorithm
+Normal rank
@@ Property / cites work @@
+Optimal approximation  of stochastic differential equations  by adaptive step-size control
+Normal rank
@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / rank @@
+Normal rank
@@ Property / cites work @@
+Statistical Romberg extrapolation: a new variance reduction method and applications to option pricing
+Normal rank
@@ Property / cites work @@
+Q4004325
@@ Property / cites work: Q4004325 / rank @@
+Normal rank
@@ Property / cites work @@
+An adaptive Euler-Maruyama scheme for SDEs: convergence and stability
+Normal rank
@@ Property / cites work @@
+Quasi-symplectic methods for Langevin-type equations
+Normal rank
@@ Property / cites work @@
+Sparse tensor multi-level Monte Carlo finite volume methods for hyperbolic conservation laws with random initial data
+Normal rank
@@ Property / cites work @@
+Stochastic differential equations. An introduction with applications.
+Normal rank
@@ Property / cites work @@
+A benchmark approach to quantitative finance
@@ Property / cites work: A benchmark approach to quantitative finance / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic calculus for finance. II: Continuous-time models.
+Normal rank
@@ Property / cites work @@
+Adaptive weak approximation of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Q4786851
@@ Property / cites work: Q4786851 / rank @@
+Normal rank
@@ Property / cites work @@
+Expansion of the global error for numerical schemes solving stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients
+Normal rank
@@ Property / cites work @@
+The Euler scheme with irregular coefficients
@@ Property / cites work: The Euler scheme with irregular coefficients / rank @@
+Normal rank