Multilevel estimation of expected exit times and other functionals of stopped diffusions
This paper proposes and analyzes a new multilevel Monte Carlo method for the estimation of mean exit times for multidimensional Brownian diffusions and associated functionals which correspond to solutions to high-dimensional parabolic PDEs through the Feynman–Kac formula. In particular, it is proved...
| Հիմնական հեղինակներ: | , |
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| Ձևաչափ: | Journal article |
| Հրապարակվել է: |
Society for Industrial and Applied Mathematics
2018
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