From Rough Path Estimates to Multilevel Monte Carlo-Reference-Cited by-同舟云学术

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From Rough Path Estimates to Multilevel Monte Carlo

Published:2016-01 Issue:3 Volume:54 Page:1449-1483
ISSN:0036-1429
Container-title:SIAM Journal on Numerical Analysis
language:en
Short-container-title:SIAM J. Numer. Anal.

Author:

Bayer Christian,Friz Peter K.,Riedel Sebastian,Schoenmakers John

Funder

Deutsche Forschungsgemeinschaft

European Research Council

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Numerical Analysis,Applied Mathematics,Computational Mathematics

Link

http://epubs.siam.org/doi/pdf/10.1137/140995209

Reference20 articles.

1. Multilevel dual approach for pricing American style derivatives

2. Densities for rough differential equations under Hörmander’s condition

3. Integrability and tail estimates for Gaussian rough differential equations

4. A continuation multilevel Monte Carlo algorithm

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1. Stochastic modified equations for symplectic methods applied to rough Hamiltonian systems;IMA Journal of Numerical Analysis;2024-05-23

2. Wong-Zakai type approximations of rough random dynamical systems by smooth noise;Journal of Differential Equations;2023-06

3. Strong convergence rate of the Euler scheme for SDEs driven by additive rough fractional noises;Statistics & Probability Letters;2023-03

4. Optimal convergence rate of modified Milstein scheme for SDEs with rough fractional diffusions;Journal of Differential Equations;2023-01

5. Bayesian parameter inference for partially observed stochastic differential equations driven by fractional Brownian motion;Statistics and Computing;2022-12-19

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