Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations

DOI10.1214/12-AAP890zbMath1283.60098arXiv1105.0226OpenAlexW2137519698MaRDI QIDQ373839

Peter E. Kloeden, Arnulf Jentzen, Martin Hutzenthaler

Publication date: 25 October 2013

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1105.0226

zbMATH Keywords

polynomial growthstochastic differential equationsmulti-level Monte Carlonon-globally Lipschitz continuous

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Uses Software

• Mathematica

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