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

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dc.affiliation.dptoUC3M. Departamento de Matemáticases
dc.contributor.authorGiles, Michael B.
dc.contributor.authorBernal Martínez, Francisco Manuel
dc.date.accessioned2021-04-12T08:32:53Z
dc.date.available2021-04-12T08:32:53Z
dc.date.issued2018-10-18
dc.description.abstractThis 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).en
dc.format.extent21
dc.identifier.bibliographicCitationGiles, 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.en
dc.identifier.doihttps://doi.org/10.1137/17M1116660
dc.identifier.issn2166-2525
dc.identifier.publicationfirstpage1454
dc.identifier.publicationissue4
dc.identifier.publicationlastpage1474
dc.identifier.publicationtitleSIAM-ASA Journal on Uncertainty Quantificationen
dc.identifier.publicationvolume6
dc.identifier.urihttps://hdl.handle.net/10016/32327
dc.identifier.uxxiAR/0000026510
dc.language.isoengen
dc.publisherSociety for Industrial and Applied Mathematics (SIAM)en
dc.rights© 2018, Society for Industrial and Applied Mathematics and American Statistical Associationen
dc.rights.accessRightsopen accessen
dc.subject.ecienciaMatemáticases
dc.subject.otherMultilevelen
dc.subject.otherMonte Carloen
dc.subject.otherStochasticen
dc.subject.otherNumerical analysisen
dc.subject.otherStoppe diffusionsen
dc.titleMultilevel Estimation of Expected Exit Times and Other Functionals of Stopped Diffusionsen
dc.typeresearch article*
dc.type.hasVersionVoR*
dspace.entity.typePublication
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