Multilevel MC method for weak approximation of stochastic differential equation with the exact coupling scheme-Reference-Cited by-同舟云学术

Multilevel MC method for weak approximation of stochastic differential equation with the exact coupling scheme

Published:2022-01-01 Issue:1 Volume:20 Page:305-312
ISSN:2391-5455
Container-title:Open Mathematics
language:en
Short-container-title:

Author:

Alnafisah Yousef¹

Affiliation:

1. Mathematics Department, College of Science, Qassim University , P.O.Box 6644 , Buraydah 51452 , Saudi Arabia

Abstract

Abstract Davie’s exact coupling technique for stochastic differential equations may be used to enhance the convergence of the multilevel Monte Carlo (MC) methodology. Giles developed the multilevel MC technique, which is based on executing the MC method several times with various time increments. It cuts computing costs significantly by executing most simulations at a low cost. The essential concept behind the multilevel MC approach with the exact coupling is discussed in this article. Numerical implementation reveals significant computational savings, which supports the analysis.

Publisher

Walter de Gruyter GmbH

Subject

General Mathematics

Link

https://www.degruyter.com/document/doi/10.1515/math-2022-0019/pdf

Reference19 articles.

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