Adaptive Monte Carlo Algorithms for Stopped Diffusion

DOI10.1007/3-540-26444-2_3MaRDI QIDQ5703077zbMATH OpenOpenAlexFDO

Authors Anna Dzougoutov, Kyoung-Sook Moon, Anders Szepessy, R. Tempone, Erik von Schwerin

Publication date 8 November 2005

Published in Lecture Notes in Computational Science and Engineering (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/3-540-26444-2_3

zbMATH Keywords

adaptive mesh refinement algorithmbarrier optiondiffusion with boundaryItô stochastic differential equationMonte Carlo Euler methodMonte Carlo methodNumerical resultsweak approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited in

(17)

• Adaptive lattice methods for multi-asset models
• An analytical approximation for single barrier options under stochastic volatility models
• Error estimation and uncertainty quantification for first time to a threshold value
• Adaptive multilevel Monte Carlo simulation
• Adaptive Weak Approximation of Diffusions with Jumps
• Relative fixed-width stopping rules for Markov chain Monte Carlo simulations
• Adaptive weak approximation of reflected and stopped diffusions
• On Monte Carlo algorithms applied to Dirichlet problems for parabolic operators in the setting of time-dependent domains
• Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias
• Multilevel estimation of expected exit times and other functionals of stopped diffusions
• Computable error estimates of a finite difference scheme for option pricing in exponential Lévy models
• SDE based regression for linear random PDEs
• Convergence Rates for Adaptive Weak Approximation of Stochastic Differential Equations
• A posteriori error analysis and adaptivity for high-dimensional elliptic and parabolic boundary value problems
• Importance sampling for rare event tracking within the ensemble Kalman filtering framework
• Heuristics for the probabilistic solution of BVPs with mixed boundary conditions
• Simulation of stopped diffusions

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