Multi-level Monte Carlo methods with the truncated Euler–Maruyama scheme for stochastic differential equations

DOI10.1080/00207160.2017.1329533zbMath1499.65011arXiv1611.07833MaRDI QIDQ5028557

Xuerong Mao, Qian Guo, Wei Liu, Weijun Zhan

Publication date: 10 February 2022

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.07833

zbMATH Keywords

stochastic differential equations; truncated Euler-Maruyama method; multi-level Monte Carlo method; nonlinear coefficients; approximation to expectation

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations