Analysis of multilevel Monte Carlo path simulation using the Milstein discretisation

Michael Giles*, Kristian Debrabant, Andreas Rößler

*Kontaktforfatter for dette arbejde

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OriginalsprogEngelsk
TidsskriftDiscrete and Continuous Dynamical Systems. Series B
Vol/bind24
Udgave nummer8
Sider (fra-til)3881-3903
ISSN1531-3492
DOI
StatusUdgivet - 2019

Citer dette

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title = "Analysis of multilevel Monte Carlo path simulation using the Milstein discretisation",
author = "Michael Giles and Kristian Debrabant and Andreas R{\"o}{\ss}ler",
year = "2019",
doi = "10.3934/dcdsb.2018335",
language = "English",
volume = "24",
pages = "3881--3903",
journal = "Discrete and Continuous Dynamical Systems. Series B",
issn = "1531-3492",
publisher = "Southwest Missouri State University",
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}

Analysis of multilevel Monte Carlo path simulation using the Milstein discretisation. / Giles, Michael; Debrabant, Kristian; Rößler, Andreas.

I: Discrete and Continuous Dynamical Systems. Series B, Bind 24, Nr. 8, 2019, s. 3881-3903.

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

TY - JOUR

T1 - Analysis of multilevel Monte Carlo path simulation using the Milstein discretisation

AU - Giles, Michael

AU - Debrabant, Kristian

AU - Rößler, Andreas

PY - 2019

Y1 - 2019

U2 - 10.3934/dcdsb.2018335

DO - 10.3934/dcdsb.2018335

M3 - Journal article

VL - 24

SP - 3881

EP - 3903

JO - Discrete and Continuous Dynamical Systems. Series B

JF - Discrete and Continuous Dynamical Systems. Series B

SN - 1531-3492

IS - 8

ER -