On the Acceleration of the Multi-Level Monte Carlo Method

DOI10.1239/jap/1437658600zbMath1331.65013arXiv1301.7650OpenAlexW3100675551MaRDI QIDQ2949839

Kristian Debrabant, Andreas Rößler

Publication date: 2 October 2015

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

Full work available at URL: https://arxiv.org/abs/1301.7650

zbMATH Keywords

algorithmstochastic differential equationBrownian motionweak approximationvariance reductionmulti-level Monte Carlo method

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Brownian motion (60J65) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (8)

Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators ⋮ Central limit theorem for the antithetic multilevel Monte Carlo method ⋮ Brownian bridge expansions for Lévy area approximations and particular values of the Riemann zeta function ⋮ A Micro-Macro Acceleration Method for the Monte Carlo Simulation of Stochastic Differential Equations ⋮ Ninomiya-Victoir scheme : Multilevel Monte Carlo estimators and discretization of the involved Ordinary Differential Equations ⋮ An Arbitrary High Order Weak Approximation of SDE and Malliavin Monte Carlo: Analysis of Probability Distribution Functions ⋮ A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing ⋮ Improved Stabilized Multilevel Monte Carlo Method for Stiff Stochastic Differential Equations

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