Multilevel Monte Carlo for stochastic differential equations with additive fractional noise
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Publication:666368
DOI10.1007/S10479-009-0663-8zbMATH Open1235.60064OpenAlexW2050782108MaRDI QIDQ666368FDOQ666368
Authors: A. Neuenkirch, Raffaella Pavani, Peter E. Kloeden 
Publication date: 8 March 2012
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-009-0663-8
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Malliavin calculusfractional Brownian motionEuler schememultilevel Monte CarloSDEs with additive noise
Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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Cited In (27)
- Backward Euler method for stochastic differential equations with non-Lipschitz coefficients driven by fractional\ Brownian motion
- Discrete-time simulation of stochastic Volterra equations
- Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients
- Numerical method for singular drift stochastic differential equation driven by fractional Brownian motion
- Mittag--Leffler Euler Integrator for a Stochastic Fractional Order Equation with Additive Noise
- Multilevel Hierarchical Decomposition of Finite Element White Noise with Application to Multilevel Markov Chain Monte Carlo
- Optimal strong convergence rate of a backward Euler type scheme for the Cox-Ingersoll-Ross model driven by fractional Brownian motion
- A fully parallelizable space-time multilevel Monte Carlo method for stochastic differential equations with additive noise
- Multilevel Monte Carlo for Lévy-driven SDEs: central limit theorems for adaptive Euler schemes
- Long memory and crude oil's price predictability
- A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion
- Strong error analysis of Euler methods for overdamped generalized Langevin equations with fractional noise: Nonlinear case
- Weak approximations of stochastic partial differential equations with fractional noise
- Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach
- Truncated Euler–Maruyama method for stochastic differential equations driven by fractional Brownian motion with super-linear drift coefficient
- Strong convergence rate of the Euler scheme for SDEs driven by additive rough fractional noises
- The truncated Euler-Maruyama method for CIR model driven by fractional Brownian motion
- Explicit determinants of the RFP\(r\)L\(r\)R circulant and RLP\(r\)F\(r\)L circulant matrices involving some famous numbers
- Circulant type matrices with the sum and product of Fibonacci and Lucas numbers
- On the acceleration of the multi-level Monte Carlo method
- Multilevel Monte Carlo for stochastic differential equations with small noise
- From rough path estimates to multilevel Monte Carlo
- Asset prices with investor protection and past information
- Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes
- Mean square stability of stochastic theta method for stochastic differential equations driven by fractional Brownian motion
- On Jacobsthal and Jacobsthal-Lucas circulant type matrices
- Optimal control of stochastic system with fractional Brownian motion
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