Multilevel Estimation of Expected Exit Times and Other Functionals of Stopped Diffusions
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Publication:4611523
DOI10.1137/17M1116660zbMath1405.60076arXiv1710.07492OpenAlexW2963529230MaRDI QIDQ4611523
Francisco Bernal, Michael B. Giles
Publication date: 21 January 2019
Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1710.07492
Probabilistic models, generic numerical methods in probability and statistics (65C20) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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