Multilevel Monte Carlo for stochastic differential equations with additive fractional noise

DOI10.1007/s10479-009-0663-8zbMath1235.60064OpenAlexW2050782108MaRDI QIDQ666368

Andreas 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

zbMATH Keywords

fractional Brownian motionMalliavin calculusEuler schememultilevel Monte CarloSDEs with additive noise

Mathematics Subject Classification ID

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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Uses Software

• SimEstFBM

Cites Work

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