Geometrically Convergent Simulation of the Extrema of Lévy Processes (Q5085135)

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scientific article; zbMATH DE number 7548062
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Geometrically Convergent Simulation of the Extrema of Lévy Processes
scientific article; zbMATH DE number 7548062

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    Geometrically Convergent Simulation of the Extrema of Lévy Processes (English)
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    27 June 2022
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    supremum
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    Lévy process
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    simulation
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    Monte Carlo estimation
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    geometric convergence
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    multilevel Monte Carlo
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