Publication:3504233
From MaRDI portal
zbMath1141.65321MaRDI QIDQ3504233
Publication date: 11 June 2008
convergence; numerical results; Milstein scheme; multilevel Monte Carlo method; scalar stochastic differential equations; Asian, lookback, barrier and digital options
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
Related Items
A Micro-Macro Acceleration Method for the Monte Carlo Simulation of Stochastic Differential Equations, Multilevel Estimation of Expected Exit Times and Other Functionals of Stopped Diffusions, A Multilevel Monte Carlo Ensemble Scheme for Random Parabolic PDEs, Physics Information Aided Kriging using Stochastic Simulation Models, Multi-level Monte Carlo methods with the truncated Euler–Maruyama scheme for stochastic differential equations, Adaptive Multilevel Monte Carlo for Probabilities, Multilevel Monte Carlo finite volume methods for random conservation laws with discontinuous flux, Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations, Multilevel Path Simulation for Jump-Diffusion SDEs, Numerical Solution of Scalar Conservation Laws with Random Flux Functions, Multilevel Monte Carlo Method for Path-Dependent Barrier Interest Rate Derivatives, Brownian bridge expansions for Lévy area approximations and particular values of the Riemann zeta function, A Multilevel Stochastic Collocation Method for Schrödinger Equations with a Random Potential, 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 front-tracking for random scalar conservation laws, Multi-level stochastic approximation algorithms, Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations, Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients, Multi-output local Gaussian process regression: applications to uncertainty quantification, Higher-order time integration of Coulomb collisions in a plasma using Langevin equations, Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients, Multi-level Monte Carlo finite volume methods for nonlinear systems of conservation laws in multi-dimensions, Infinite-dimensional integration in weighted Hilbert spaces: anchored decompositions, optimal deterministic algorithms, and higher-order convergence, Consistency and stability of a Milstein-Galerkin finite element scheme for semilinear SPDE, Application of quasi-Monte Carlo methods to elliptic PDEs with random diffusion coefficients: a survey of analysis and implementation, Mixed finite element analysis of lognormal diffusion and multilevel Monte Carlo methods, Optimization of mesh hierarchies in multilevel Monte Carlo samplers, Multilevel approximate Bayesian approaches for flows in highly heterogeneous porous media and their applications, A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations, Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction, Multi-level Monte Carlo finite element method for elliptic PDEs with stochastic coefficients, Multilevel Monte Carlo for stochastic differential equations with additive fractional noise, Multilevel Monte Carlo simulation of Coulomb collisions, First order strong approximations of scalar SDEs defined in a domain, Characterization of bistability for stochastic multistep methods, On irregular functionals of SDEs and the Euler scheme, Multi-level Monte Carlo algorithms for infinite-dimensional integration on \(\mathbb R^{\mathbb N}\), Weak Milstein scheme without commutativity condition and its error bound, Coupling importance sampling and multilevel Monte Carlo using sample average approximation, Multilevel Monte Carlo methods using ensemble level mixed MsFEM for two-phase flow and transport simulations, Multi-level Monte Carlo weak Galerkin method with nested meshes for stochastic Brinkman problem, Multilevel and multi-index Monte Carlo methods for the McKean-Vlasov equation, On the implementation of multilevel Monte Carlo simulation of the stochastic volatility and interest rate model using multi-GPU clusters, The truncated Milstein method for stochastic differential equations with commutative noise, Brownian meanders, importance sampling and unbiased simulation of diffusion extremes, Multilevel Monte Carlo method for parabolic stochastic partial differential equations, Monte Carlo versus multilevel Monte Carlo in weak error simulations of SPDE approximations, Pricing discretely-monitored double barrier options with small probabilities of execution, Multilevel Picard iterations for solving smooth semilinear parabolic heat equations, A multigrid multilevel Monte Carlo method for Stokes-Darcy model with random hydraulic conductivity and Beavers-Joseph condition, An MLMCE-HDG method for the convection diffusion equation with random diffusivity, A stochastic collocation method based on sparse grids for a stochastic Stokes-Darcy model, Multilevel MC method for weak approximation of stochastic differential equation with the exact coupling scheme, On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone coefficients, The parallel finite element system M++ with integrated multilevel preconditioning and multilevel Monte Carlo methods, Discrete-time simulation of stochastic Volterra equations, Central limit theorem for the multilevel Monte Carlo Euler method, Explicit Milstein schemes with truncation for nonlinear stochastic differential equations: convergence and its rate, The optimal multilevel Monte-Carlo approximation of the stochastic drift-diffusion-Poisson system, Optimal multilevel randomized quasi-Monte-Carlo method for the stochastic drift-diffusion-Poisson system, On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations, Adaptive time-stepping for the strong numerical solution of stochastic differential equations, A continuation multilevel Monte Carlo algorithm, Multi-level quasi-Monte Carlo finite element methods for a class of elliptic PDEs with random coefficients, Convergence analysis of multilevel Monte Carlo variance estimators and application for random obstacle problems, Multilevel Monte Carlo for exponential Lévy models, Multilevel Monte Carlo simulation for Lévy processes based on the Wiener-Hopf factorisation, Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation, Unbiased Estimation with Square Root Convergence for SDE Models, An introduction to multilevel Monte Carlo for option valuation, From Rough Path Estimates to Multilevel Monte Carlo, Multilevel ensemble Kalman filtering, A spectral-based numerical method for Kolmogorov equations in Hilbert spaces, Sparse tensor multi-level Monte Carlo finite volume methods for hyperbolic conservation laws with random initial data, Infinite-dimensional integration on weighted Hilbert spaces, Multilevel Monte Carlo Approximation of Distribution Functions and Densities, On the Acceleration of the Multi-Level Monte Carlo Method, An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients, A Note on the Importance of Weak Convergence Rates for SPDE Approximations in Multilevel Monte Carlo Schemes, Parallel Multilevel Monte Carlo Algorithms for Elliptic PDEs with Random Coefficients, Multilevel Monte Carlo Approaches for Numerical Homogenization
