Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
type: Item
instance of: scholarly article
title: Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
zbMATH Open document ID: 1373.65007
DOI: 10.1214/13-AAP957
author: Mike Giles
author: Lukasz Szpruch
published in: The Annals of Applied Probability
publication date: 2014-08-06T00:00:00Z
full work available at URL: https://arxiv.org/abs/1202.6283
full work available at URL: https://projecteuclid.org/euclid.aoap/1400073658
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 34F05
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 60J65
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 6325535
zbMATH Keywords: Monte Carlo
zbMATH Keywords: multilevel
zbMATH Keywords: Lévy area
zbMATH Keywords: stochastic differential equation
zbMATH Keywords: Brownian motions
zbMATH Keywords: convergence
zbMATH Keywords: computational complexity
zbMATH Keywords: European and Asian put and call options
MaRDI profile type: Publication
arXiv ID: 1202.6283
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description: scientific article