From rough path estimates to multilevel Monte Carlo
| dc.bibliographicCitation.seriesTitle | WIAS Preprints | eng |
| dc.bibliographicCitation.volume | 1787 | |
| dc.contributor.author | Bayer, Christian | |
| dc.contributor.author | Friz, Peter K. | |
| dc.contributor.author | Riedel, Sebastian | |
| dc.contributor.author | Schoenmakers, John G.M. | |
| dc.date.accessioned | 2016-03-24T17:37:29Z | |
| dc.date.available | 2019-06-28T08:02:01Z | |
| dc.date.issued | 2013 | |
| dc.description.abstract | Discrete approximations to solutions of stochastic differential equations are well-known to converge with strong rate 1=2. Such rates have played a key-role in Giles multilevel Monte Carlo method [Giles, Oper. Res. 2008] which gives a substantial reduction of the computational effort necessary for the evaluation of diffusion functionals. In the present article similar results are established for large classes of rough differential equations driven by Gaussian processes (including fractional Brownian motion with H > 1=4 as special case). | eng |
| dc.description.version | publishedVersion | eng |
| dc.format | application/pdf | |
| dc.identifier.issn | 0946-8633 | |
| dc.identifier.uri | https://doi.org/10.34657/2409 | |
| dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/1677 | |
| dc.language.iso | eng | eng |
| dc.publisher | Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik | eng |
| dc.relation.issn | 0946-8633 | eng |
| dc.rights.license | This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties. | eng |
| dc.rights.license | Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden. | ger |
| dc.subject.ddc | 510 | eng |
| dc.title | From rough path estimates to multilevel Monte Carlo | eng |
| dc.type | Report | eng |
| dc.type | Text | eng |
| tib.accessRights | openAccess | eng |
| wgl.contributor | WIAS | eng |
| wgl.subject | Mathematik | eng |
| wgl.type | Report / Forschungsbericht / Arbeitspapier | eng |
Files
Original bundle
1 - 1 of 1
Loading...
- Name:
- 750714549.pdf
- Size:
- 494.98 KB
- Format:
- Adobe Portable Document Format
- Description: