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

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

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 com...

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Bibliographic Details
Main Author: Alnafisah Yousef
Format: Article
Language:English
Published: De Gruyter 2022-04-01
Series:Open Mathematics
Subjects:
exact coupling
stochastic differential equations
numerical solution of stochastic differential equations
weak convergence
11-xx
60-xx
65-xx
68-xx
Online Access:https://doi.org/10.1515/math-2022-0019

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