Pages that link to "Item:Q4902226"

The following pages link to Stochastic Finite Differences and Multilevel Monte Carlo for a Class of SPDEs in Finance (Q4902226):

Displaying 24 items.

• Multi-index Monte Carlo: when sparsity meets sampling (Q264116) (← links)
• Stabilized multilevel Monte Carlo method for stiff stochastic differential equations (Q347978) (← links)
• Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients (Q380318) (← links)
• Multi-level Monte Carlo finite volume methods for nonlinear systems of conservation laws in multi-dimensions (Q417868) (← links)
• Optimization of mesh hierarchies in multilevel Monte Carlo samplers (Q507015) (← links)
• Fast mean-reversion asymptotics for large portfolios of stochastic volatility models (Q784739) (← links)
• Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE (Q2009114) (← links)
• Analysis of sparse grid multilevel estimators for multi-dimensional Zakai equations (Q2091299) (← links)
• Improved efficiency of multilevel Monte Carlo for stochastic PDE through strong pairwise coupling (Q2103434) (← links)
• An MLMCE-HDG method for the convection diffusion equation with random diffusivity (Q2107163) (← links)
• A continuation multilevel Monte Carlo algorithm (Q2350720) (← links)
• Approximation of probability density functions by the multilevel Monte Carlo maximum entropy method (Q2375153) (← links)
• Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation (Q2511559) (← links)
• A Multilevel Stochastic Collocation Method for Partial Differential Equations with Random Input Data (Q3452535) (← links)
• Stochastic Evolution Equations for Large Portfolios of Stochastic Volatility Models (Q4607058) (← links)
• MLMC for Nested Expectations (Q4611811) (← links)
• Multilevel Control Variates for Uncertainty Quantification in Simulations of Cloud Cavitation (Q4691174) (← links)
• Mean-square stability and error analysis of implicit time-stepping schemes for linear parabolic SPDEs with multiplicative Wiener noise in the first derivative (Q4902865) (← links)
• Multilevel Designed Quadrature for Partial Differential Equations with Random Inputs (Q4986844) (← links)
• Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems (Q5132232) (← links)
• Analysis of Nested Multilevel Monte Carlo Using Approximate Normal Random Variables (Q5862903) (← links)
• A massively parallel implementation of multilevel Monte Carlo for finite element models (Q6094001) (← links)
• Numerical solution of kinetic SPDEs via stochastic Magnus expansion (Q6102934) (← links)
• Monte Carlo convergence rates for \(k\)th moments in Banach spaces (Q6184844) (← links)