Analysis of multilevel Monte Carlo path simulation using the Milstein discretisation

DOI10.3934/dcdsb.2018335zbMath1420.60063arXiv1302.4676OpenAlexW2910496157MaRDI QIDQ2321088

Kristian Debrabant, Andreas Rößler, Michael B. Giles

Publication date: 28 August 2019

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.4676

zbMATH Keywords

stochastic differential equationsnumerical analysismultilevel Monte Carlocomputational finance

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Multilevel Monte Carlo Approximation of Distribution Functions and Densities ⋮ Mean-square convergence rates of implicit Milstein type methods for SDEs with non-Lipschitz coefficients ⋮ Monte Carlo convergence rates for \(k\)th moments in Banach spaces ⋮ Multilevel Monte Carlo Method for Path-Dependent Barrier Interest Rate Derivatives ⋮ General multilevel Monte Carlo methods for pricing discretely monitored Asian options

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