منابع مشابه
Multilevel Monte Carlo Path Simulation
We show that multigrid ideas can be used to reduce the computational complexity of estimating an expected value arising from a stochastic differential equation using Monte Carlo path simulations. In the simplest case of a Lipschitz payoff and an Euler discretisation, the computational cost to achieve an accuracy of O( ) is reduced from O( −3) to O( −2(log )2). The analysis is supported by numer...
متن کاملMultilevel Monte Carlo simulation of Coulomb collisions
Article history: Received 16 October 2013 Received in revised form 20 May 2014 Accepted 22 May 2014 Available online 29 May 2014
متن کاملMultilevel Monte Carlo Simulation for Options Pricing
The candidate confirms that the work submitted is their own and the appropriate credit has been given where reference has been made to the work of others. I understand that failure to attribute material which is obtained from another source may be considered as plagiarism. Summary Mathematical models developed to price options pose challenges in producing solutions that can achieve a high level...
متن کاملFrom Rough Path Estimates to Multilevel Monte Carlo
Discrete approximations to solutions of stochastic differential equations are wellknown to converge with “strong” rate 1/2. Such rates have played a key-role in Giles’ multilevel Monte Carlo method [Giles, Oper. Res. 2008] which gives a substantial reduction of the computational effort necessary for the evaluation of diffusion functionals. In the present article similar results are established ...
متن کاملMultilevel Monte Carlo Methods
We study Monte Carlo approximations to high dimensional parameter dependent integrals. We survey the multilevel variance reduction technique introduced by the author in [4] and present extensions and new developments of it. The tools needed for the convergence analysis of vector-valued Monte Carlo methods are discussed, as well. Applications to stochastic solution of integral equations are give...
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ژورنال
عنوان ژورنال: Operations Research
سال: 2008
ISSN: 0030-364X,1526-5463
DOI: 10.1287/opre.1070.0496