Non-asymptotic error bounds for the multilevel Monte Carlo Euler method applied to SDEs with constant diffusion coefficient

DOI10.1214/19-EJP271zbMath1466.60135arXiv1708.07064MaRDI QIDQ2631837

Ahmed Kebaier, Benjamin Jourdain

Publication date: 16 May 2019

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1708.07064

zbMATH Keywords

Malliavin calculus; Euler scheme; multilevel Monte Carlo methods; non asymptotic bounds

Mathematics Subject Classification ID

65C05: Monte Carlo methods

60H07: Stochastic calculus of variations and the Malliavin calculus

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

65C30: Numerical solutions to stochastic differential and integral equations

Related Items

Multi-index antithetic stochastic gradient algorithm, Multi-index ensemble Kalman filtering

Cites Work

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• Multilevel Monte Carlo Path Simulation
• Analysis and Geometry of Markov Diffusion Operators