Multi-level Monte Carlo methods with the truncated Euler–Maruyama scheme for stochastic differential equations

DOI10.1080/00207160.2017.1329533zbMath1499.65011arXiv1611.07833OpenAlexW2554996404MaRDI QIDQ5028557

Wei Liu, Xuerong Mao, Weijun Zhan, Qian Guo

Publication date: 10 February 2022

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.07833

zbMATH Keywords

stochastic differential equationstruncated Euler-Maruyama methodmulti-level Monte Carlo methodnonlinear coefficientsapproximation to expectation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

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