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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Bibliographic Details
Main Author: Primozic, T
Format: Thesis
Published: oxford university;mathematical institute 2011