An Antithetic Approach of Multilevel Richardson-Romberg Extrapolation Estimator for Multidimensional SDES

DOI10.1007/978-3-319-57099-0_54zbMath1368.65011OpenAlexW2606099415MaRDI QIDQ5274991

Gilles Pagès, Cheikh Mbaye, Frédéric Vrins

Publication date: 7 July 2017

Published in: Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-57099-0_54

zbMATH Keywords

stochastic differential equationoption pricingRichardson-Romberg extrapolationMilstein schememultilevel Monte Carloantithetic multilevel Monte Carloeuler scheme

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) 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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Cites Work

• Multilevel Richardson-Romberg extrapolation
• Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
• Multilevel Monte Carlo Path Simulation

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