Analysis of multilevel Monte Carlo path simulation using the Milstein discretisation
The multilevel Monte Carlo path simulation method introduced by Giles (Operations Research, 56(3):607-617, 2008) exploits strong convergence properties to improve the computational complexity by combining simulations with different levels of resolution. In this paper we analyse its efficiency when u...
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| Médium: | Journal article |
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American Institute of Mathematical Sciences
2019
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