From Rough Path Estimates to Multilevel Monte Carlo (Q2807285)

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From Rough Path Estimates to Multilevel Monte Carlo
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    title
    From Rough Path Estimates to Multilevel Monte Carlo (English)
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    DOI
    10.1137/140995209
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    author
    Christian Bayer
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    Peter K. Friz
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    Sebastian Riedel
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    publication date
    20 May 2016
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    Mathematics Subject Classification ID
    60H35
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    60H10
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    60G15
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    65C30
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    65C05
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    zbMATH DE Number
    6583128
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    zbMATH Keywords
    stochastic differential equations
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    numerical methods
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    Monte Carlo methods
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    Gaussian processes
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    OpenAlex ID
    W3098677150
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    arXiv ID
    1305.5779
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    cites work
    Volatility is rough
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    Q3504233
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    Q4004325
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    Mersenne twister
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