Mean Exit Times and the Multilevel Monte Carlo Method

DOI10.1137/120883803zbMath1282.65020OpenAlexW2148439964MaRDI QIDQ5397862

Desmond J. Higham, Mikolaj Roj, George Yin, Qingshuo Song, Xuerong Mao

Publication date: 25 February 2014

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://strathprints.strath.ac.uk/44165/

zbMATH Keywords

stochastic differential equationMonte Carlostochastic simulationstrong and weak convergencemultilevel Monte CarloEuler-Maruyama approximationmean exit timeexpected hitting timeexpected computational cost

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)

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