Adaptive importance sampling for multilevel Monte Carlo Euler method

DOI10.1080/17442508.2022.2084338zbMath1517.60024OpenAlexW4283523892MaRDI QIDQ6107685

Ahmed Kebaier, Mohamed Ben Alaya, Kaouther Hajji

Publication date: 3 July 2023

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2022.2084338

zbMATH Keywords

variance reduction finance Euler scheme stochastic algorithm multilevel Monte Carlo Robbins-Monro Lindeberg-Feller central limit theorem

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Monte Carlo methods (65C05) Stochastic approximation (62L20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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