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...
| 主要な著者: | , |
|---|---|
| フォーマット: | Journal article |
| 出版事項: |
SIAM
2012
|
Search Result 1
Stochastic Finite Differences and Multilevel Monte Carlo for a Class of SPDEs in Finance
出版事項 2012
Journal article
Search Result 2