Weak Antithetic MLMC Estimation of SDEs with the Milstein scheme for Low-Dimensional Wiener Processes

DOI10.1016/J.AML.2018.11.017zbMath1524.60121arXiv1811.09316WikidataQ128853105 ScholiaQ128853105MaRDI QIDQ6310101

Nicky Cordua Mattsson, Azadeh Ghasemifard, Kristian Debrabant

Publication date: 22 November 2018

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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