Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance
In this article, we propose a Milstein finite difference scheme for a stochastic partial differential equation (SPDE) describing a large particle system. We show, by means of Fourier analysis, that the discretisation on an unbounded domain is convergent of first order in time and second order in the...
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| Format: | Report |
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N/A
2011
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