Antithetic multilevel Monte Carlo method for approximations of SDEs with non-globally Lipschitz continuous coefficients

Monte Carlo methods (65C05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

Title not available (Why is that?)
Title not available (Why is that?)
Title not available (Why is that?)
Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients
Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations
Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
Convergence of the stochastic Euler scheme for locally Lipschitz coefficients
First order strong approximations of scalar SDEs defined in a domain
Explicit approximations for nonlinear switching diffusion systems in finite and infinite horizons
Efficient Monte Carlo simulation of security prices
On Milstein approximations with varying coefficients: the case of super-linear diffusion coefficients
Adaptive Euler methods for stochastic systems with non-globally Lipschitz coefficients
Explicit solution simulation method for the 3/2 model
Mean-square convergence rates of stochastic theta methods for SDEs under a coupled monotonicity condition
Stochastic C-stability and B-consistency of explicit and implicit Milstein-type schemes
Statistical Romberg extrapolation: a new variance reduction method and applications to option pricing
Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
Stochastic C-stability and B-consistency of explicit and implicit Euler-type schemes
Multilevel Monte Carlo method for ergodic SDEs without contractivity
An introduction to multilevel Monte Carlo for option valuation
Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
Multilevel Monte Carlo Path Simulation
Strong convergence rates of the linear implicit Euler method for the finite element discretization of SPDEs with additive noise
Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients
Explicit numerical approximations for stochastic differential equations in finite and infinite horizons: truncation methods, convergence in pth moment and stability
Mean-square convergence rates of implicit Milstein type methods for SDEs with non-Lipschitz coefficients
Milstein schemes and antithetic multilevel Monte Carlo sampling for delay McKean-Vlasov equations and interacting particle systems

This page was built for publication: Antithetic multilevel Monte Carlo method for approximations of SDEs with non-globally Lipschitz continuous coefficients

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6635676)