Multilevel MC method for weak approximation of stochastic differential equation with the exact coupling scheme

DOI10.1515/MATH-2022-0019MaRDI QIDQ2135071zbMATH OpenOpenAlexWikidataFDO

Authors Yousef Alnafisah

Publication date 4 May 2022

Published in Open Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1515/math-2022-0019

zbMATH Keywords

exact couplingnumerical solution of stochastic differential equationsstochastic differential equationsweak convergence

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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Cites work

• Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
• Blow-up for a stochastic viscoelastic Lamé equation with logarithmic nonlinearity
• Existence of strong solutions for Itô's stochastic equations via approximations
• Explicit order \( \frac{3}{2} \) Runge-Kutta method for numerical solutions of stochastic differential equations by using Itô-Taylor expansion
• scientific article; zbMATH DE number 939851 (Why is no real title available?)
• Improved multilevel Monte Carlo convergence using the Milstein scheme
• Joint characteristic function and simultaneous simulation of iterated Itô integrals for multiple independent Brownian motions
• KMT theory applied to approximations of SDE
• Multilevel Monte Carlo Path Simulation
• Neutral delay Hilfer fractional integrodifferential equations with fractional Brownian motion
• Noninstantaneous impulsive conformable fractional stochastic delay integro-differential system with Rosenblatt process and control function
• On the simulation of iterated Itô integrals.
• Simulation and approximation of Lévy-driven stochastic differential equations
• The approximation of multiple stochastic integrals

Cited in

(1)

• Improved efficiency of multilevel Monte Carlo for stochastic PDE through strong pairwise coupling

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