Publication:
Multilevel Estimation of Expected Exit Times and Other Functionals of Stopped Diffusions

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URI: https://hdl.handle.net/10016/32327
ISSN: 2166-2525
DOI: https://doi.org/10.1137/17M1116660
UXXI: AR/0000026510
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Multilevel_JUQ_2018.pdf (550.27 KB)
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2018-10-18
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Society for Industrial and Applied Mathematics (SIAM)
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Abstract
This paper proposes and analyses a new multilevel Monte Carlo method for the estimation of mean exit times for multi-dimensional Brownian diffusions, and associated functionals which correspond to solutions to high dimensional parabolic PDEs through the Feynman-Kac formula. In particular, it is proved that the complexity to achieve an ε root-mean-square error is O (ε−2 |log ε|3).
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Multilevel, Monte Carlo, Stochastic, Numerical analysis, Stoppe diffusions
Bibliographic citation
Giles, M. B. & Bernal, F. (2018). Multilevel Estimation of Expected Exit Times and Other Functionals of Stopped Diffusions. SIAM/ASA Journal on Uncertainty Quantification, 6(4), pp. 1454–1474.
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