Non-asymptotic error bounds for the multilevel Monte Carlo Euler method applied to SDEs with constant diffusion coefficient
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Publication:2631837
DOI10.1214/19-EJP271zbMath1466.60135arXiv1708.07064MaRDI QIDQ2631837
Ahmed Kebaier, Benjamin Jourdain
Publication date: 16 May 2019
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1708.07064
Monte Carlo methods (65C05) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items (2)
Cites Work
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- Concentration bounds for stochastic approximations
- Multilevel path simulation for weak approximation schemes with application to Lévy-driven SDEs
- Concentration and deviation inequalities in infinite dimensions via covariance representations
- Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
- Multilevel Monte Carlo Path Simulation
- Analysis and Geometry of Markov Diffusion Operators
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