Multi-step Richardson-Romberg Extrapolation: Remarks on Variance Control and Complexity

DOI10.1515/MCMA.2007.003zbMath1119.65004arXivmath/0612523MaRDI QIDQ5295323

Gilles Pagès

Publication date: 27 July 2007

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0612523

zbMATH Keywords

numerical experimentsMonte Carlo simulationsBrownian bridgeVandermonde determinantlookback optionbarrier optionEuler-Maruyama schemeBrownian diffusion processmulti-step Richardson-Romberg extrapolation methodweak time discretization error

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) 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

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