Weak error for nested multilevel Monte Carlo
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Publication:2218848
DOI10.1007/s11009-019-09751-3zbMath1456.65003arXiv1806.07627OpenAlexW4298082477MaRDI QIDQ2218848
Vincent Lemaire, Gilles Pagès, Daphné Giorgi
Publication date: 18 January 2021
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1806.07627
Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items (3)
Variance reduction for risk measures with importance sampling in nested simulation ⋮ Adaptive Multilevel Monte Carlo for Probabilities ⋮ Multilevel Monte Carlo for computing the SCR with the standard formula and other stress tests
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