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...
| Những tác giả chính: | , , |
|---|---|
| Định dạng: | Journal article |
| Được phát hành: |
American Institute of Mathematical Sciences
2019
|