Stochastic Finite Differences and Multilevel Monte Carlo for a Class of SPDEs in Finance

DOI10.1137/110841916zbMath1257.35200arXiv1204.1442OpenAlexW2088579166MaRDI QIDQ4902226

Michael B. Giles, Christoph Reisinger

Publication date: 25 January 2013

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.1442

zbMATH Keywords

parabolic stochastic partial differential equationsmultilevel Monte Carlo simulationcredit portfolio modelserror and complexity analysis

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Finite difference methods for boundary value problems involving PDEs (65N06) Credit risk (91G40) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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