Multilevel Monte Carlo method for ergodic SDEs without contractivity
This paper proposes a new multilevel Monte Carlo (MLMC) method for the ergodic SDEs which do not satisfy the contractivity condition. By introducing the change of measure technique, we simulate the path with contractivity and add the Radon–Nikodym derivative to the estimator. We can show the strong...
| Main Authors: | , |
|---|---|
| Format: | Journal article |
| Published: |
Elsevier
2019
|