Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance
In this article, we propose a Milstein finite difference scheme for a stochastic partial differential equation (SPDE) describing a large particle system. We show, by means of Fourier analysis, that the discretization on an unbounded domain is convergent of first order in the timestep and second orde...
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| Format: | Journal article |
| Wydane: |
SIAM
2012
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Stochastic Finite Differences and Multilevel Monte Carlo for a Class of SPDEs in Finance
Wydane 2012
Journal article
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