Multilevel path simulation for weak approximation schemes with application to Lévy-driven SDEs
DOI10.3150/15-BEJ764zbMATH Open1416.60069OpenAlexW2584440323MaRDI QIDQ520679FDOQ520679
Tigran Nagapetyan, D. Belomestny
Publication date: 5 April 2017
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.bj/1486177388
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Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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- Non-asymptotic error bounds for the multilevel Monte Carlo Euler method applied to SDEs with constant diffusion coefficient
- Brownian bridge expansions for Lévy area approximations and particular values of the Riemann zeta function
- Random bit multilevel algorithms for stochastic differential equations
- A new algorithm for computing path integrals and weak approximation of SDEs inspired by large deviations and Malliavin calculus
- Analysis of Nested Multilevel Monte Carlo Using Approximate Normal Random Variables
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