Ninomiya–Victoir scheme: Strong convergence, antithetic version and application to multilevel estimators-Reference-Cited by-同舟云学术

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Ninomiya–Victoir scheme: Strong convergence, antithetic version and application to multilevel estimators

Published:2016-01-01 Issue:3 Volume:22 Page:
ISSN:0929-9629
Container-title:Monte Carlo Methods and Applications
language:
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Author:

Al Gerbi Anis,Jourdain Benjamin,Clément Emmanuelle

Abstract

AbstractIn this paper, we are interested in the strong convergence properties of the Ninomiya–Victoir scheme which is known to exhibit weak convergence with order 2. We prove strong convergence with order

Publisher

Walter de Gruyter GmbH

Subject

Applied Mathematics,Statistics and Probability

Link

https://www.degruyter.com/document/doi/10.1515/mcma-2016-0109/pdf

Reference18 articles.

1. On the acceleration of the multi-level Monte Carlo method;J. Appl. Probab.,2015

2. Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation;Ann. Appl. Probab.,2014

3. Efficient Monte Carlo simulation of security prices;Ann. Appl. Probab.,1995

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Central limit theorem for the antithetic multilevel Monte Carlo method;The Annals of Applied Probability;2022-06-01

2. Asymptotics for the normalized error of the Ninomiya–Victoir scheme;Stochastic Processes and their Applications;2018-06

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