Implementation and analysis of an adaptive multilevel Monte Carlo algorithm (Q5402530)
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scientific article; zbMATH DE number 6270083
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Implementation and analysis of an adaptive multilevel Monte Carlo algorithm |
scientific article; zbMATH DE number 6270083 |
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Implementation and analysis of an adaptive multilevel Monte Carlo algorithm (English)
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14 March 2014
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computational finance
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Monte Carlo
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multilevel
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adaptivity
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weak approximation
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error control
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Euler-Maruyama method
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a posteriori error estimates
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backward dual functions
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adjoints
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numerical examples
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Itô stochastic differential equations
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algorithm
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