Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation

DOI10.1214/13-AAP957zbMath1373.65007arXiv1202.6283MaRDI QIDQ2511559

Michael B. Giles, Lukasz Szpruch

Publication date: 6 August 2014

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1202.6283

zbMATH Keywords

multilevelcomputational complexitystochastic differential equationconvergenceMonte CarloLévy areaBrownian motionsEuropean and Asian put and call options

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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