Estimating expected first passage times using multilevel Monte Carlo algorithm
In this paper we devise a method of numerically estimating the expected first passage times of stochastic processes. We use Monte Carlo path simulations with Milstein discretisation scheme to approximate the solutions of scalar stochastic differential equations. To further reduce the variance of the...
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| Format: | Disertacija |
| Izdano: |
oxford university;mathematical institute
2011
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