Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations

DOI10.1007/978-3-319-08159-5_6zbMath1317.65029OpenAlexW2225979086MaRDI QIDQ5256556

Klaus Ritter, Martin Altmayer, Larisa Yaroslavtseva, Andreas Neuenkirch, Steffen Dereich, Thomas Müller-Gronbach, Sangmeng Li

Publication date: 18 June 2015

Published in: Extraction of Quantifiable Information from Complex Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-08159-5_6

zbMATH Keywords

quadrature formulaserror estimatecentral limit theoremmultilevel algorithmscomplexity analysisHeston modelconstructive quantizationmultilevel Monte Carlo algorithmMalliavin calculus-based payoff smoothing

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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