Multilevel Estimation of Expected Exit Times and Other Functionals of Stopped Diffusions

DOI10.1137/17M1116660zbMath1405.60076arXiv1710.07492OpenAlexW2963529230MaRDI QIDQ4611523

Francisco Bernal, Michael B. Giles

Publication date: 21 January 2019

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1710.07492

zbMATH Keywords

multilevelMonte Carlostochasticnumerical analysisstopped diffusions

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) 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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