Stochastic Finite Differences and Multilevel Monte Carlo for a Class of SPDEs in Finance (Q4902226)
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scientific article; zbMATH DE number 6130655
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic Finite Differences and Multilevel Monte Carlo for a Class of SPDEs in Finance |
scientific article; zbMATH DE number 6130655 |
Statements
Stochastic Finite Differences and Multilevel Monte Carlo for a Class of SPDEs in Finance (English)
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25 January 2013
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parabolic stochastic partial differential equations
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multilevel Monte Carlo simulation
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error and complexity analysis
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credit portfolio models
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