Antithetic multilevel Monte Carlo method for approximations of SDEs with non-globally Lipschitz continuous coefficients (Q6635676)
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scientific article; zbMATH DE number 7941420
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Antithetic multilevel Monte Carlo method for approximations of SDEs with non-globally Lipschitz continuous coefficients |
scientific article; zbMATH DE number 7941420 |
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Antithetic multilevel Monte Carlo method for approximations of SDEs with non-globally Lipschitz continuous coefficients (English)
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12 November 2024
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stochastic differential equations
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modified Milstein scheme
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non-globally Lipschitz condition
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antithetic multilevel Monte Carlo
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