Implementation and analysis of an adaptive multilevel Monte Carlo algorithm
نویسندگان
چکیده
منابع مشابه
Implementation and analysis of an adaptive multilevel Monte Carlo algorithm
We present an adaptive multilevel Monte Carlo (MLMC) method for weak approximations of solutions to Itô stochastic differential equations (SDE). The work [Oper. Res. 56 (2008), 607–617] proposed and analyzed an MLMC method based on a hierarchy of uniform time discretizations and control variates to reduce the computational effort required by a single level Euler–Maruyama Monte Carlo method from...
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ژورنال
عنوان ژورنال: Monte Carlo Methods and Applications
سال: 2014
ISSN: 0929-9629,1569-3961
DOI: 10.1515/mcma-2013-0014