Antithetic Multilevel Monte Carlo Estimation for Multidimensional SDEs

DOI10.1007/978-3-642-41095-6_16MaRDI QIDQ2926224zbMATH OpenOpenAlexFDO

Authors Mike Giles, Lukasz Szpruch

Publication date 31 October 2014

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-41095-6_16

zbMATH Keywords

antithetic multilevel Monte Carlo estimatorsBrownian motioncomputational complexityconvergencefinancial European and Asian put and call optionsLévy areasstochastic differential equations

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Brownian motion (60J65) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20) Complexity and performance of numerical algorithms (65Y20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(16)

• Weak antithetic MLMC estimation of SDEs with the milstein scheme for low-dimensional Wiener processes
• Central limit theorem for the antithetic multilevel Monte Carlo method
• Second order probabilistic parametrix method for unbiased simulation of stochastic differential equations
• A continuation multilevel Monte Carlo algorithm
• Multilevel Monte Carlo for exponential Lévy models
• Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
• Pricing exotic options using MSL-MC
• Multilevel Monte Carlo Covariance Estimation for the Computation of Sobol' Indices
• An antithetic approach of multilevel Richardson-Romberg extrapolation estimator for multidimensional SDEs
• Multi-index antithetic stochastic gradient algorithm
• Multilevel Monte Carlo with numerical smoothing for robust and efficient computation of probabilities and densities
• Multilevel path branching for digital options
• Antithetic multilevel Monte Carlo method for approximations of SDEs with non-globally Lipschitz continuous coefficients
• A multilevel stochastic approximation algorithm for value-at-risk and expected shortfall estimation
• Multilevel Monte Carlo simulation of Coulomb collisions
• Analyzing multi-level Monte Carlo for options with non-globally Lipschitz payoff

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