Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance (Q4902226)
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scientific article; zbMATH DE number 6130655
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| English | Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance |
scientific article; zbMATH DE number 6130655 |
Statements
Stochastic Finite Differences and Multilevel Monte Carlo for a Class of SPDEs in Finance (English)
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25 January 2013
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parabolic stochastic partial differential equations
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multilevel Monte Carlo simulation
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error and complexity analysis
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credit portfolio models
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0.7759250402450562
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0.7758101224899292
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0.7731709480285645
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0.769252598285675
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0.7599233984947205
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