Geometrically Convergent Simulation of the Extrema of Lévy Processes (Q5085135)
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scientific article; zbMATH DE number 7548062
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Geometrically Convergent Simulation of the Extrema of Lévy Processes |
scientific article; zbMATH DE number 7548062 |
Statements
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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