Mean Exit Times and the Multilevel Monte Carlo Method-Reference-Cited by-同舟云学术

Mean Exit Times and the Multilevel Monte Carlo Method

Published:2013-01 Issue:1 Volume:1 Page:2-18
ISSN:2166-2525
Container-title:SIAM/ASA Journal on Uncertainty Quantification
language:en
Short-container-title:SIAM/ASA J. Uncertainty Quantification

Author:

Higham Desmond J.,Mao Xuerong,Roj Mikolaj,Song Qingshuo,Yin George

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Discrete Mathematics and Combinatorics,Statistics, Probability and Uncertainty,Modelling and Simulation,Statistics and Probability

Link

http://epubs.siam.org/doi/pdf/10.1137/120883803

Reference31 articles.

1. Testing Continuous-Time Models of the Spot Interest Rate

2. A simple approach to the pricing of Bermudan swaptions in the multifactor LIBOR market model

3. Multi-level Monte Carlo Finite Element method for elliptic PDEs with stochastic coefficients

4. State reduction dynamics in a simplified QED model

5. Monte Carlo methods for security pricing

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