Antithetic multilevel Monte Carlo method for approximations of SDEs with non-globally Lipschitz continuous coefficients-Reference-Cited by-同舟云学术

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

Published:2024-12 Issue: Volume:178 Page:104467
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Pang Chenxu,Wang Xiaojie

Funder

National Natural Science Foundation of China

Publisher

Elsevier BV

Reference32 articles.

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

2. Statistical Romberg extrapolation: a new variance reduction method and applications to option pricing;Kebaier;Ann. Appl. Probab.,2005

3. Multilevel Monte Carlo path simulation;Giles;Oper. Res.,2008

4. Improved multilevel Monte Carlo convergence using the Milstein scheme;Giles,2008

5. The maximum rate of convergence of discrete approximations for stochastic differential equations;Clark,1980

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