Publication: Multilevel Estimation of Expected Exit Times and Other Functionals of Stopped Diffusions
dc.affiliation.dpto | UC3M. Departamento de Matemáticas | es |
dc.contributor.author | Giles, Michael B. | |
dc.contributor.author | Bernal Martínez, Francisco Manuel | |
dc.date.accessioned | 2021-04-12T08:32:53Z | |
dc.date.available | 2021-04-12T08:32:53Z | |
dc.date.issued | 2018-10-18 | |
dc.description.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). | en |
dc.format.extent | 21 | |
dc.identifier.bibliographicCitation | 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. | en |
dc.identifier.doi | https://doi.org/10.1137/17M1116660 | |
dc.identifier.issn | 2166-2525 | |
dc.identifier.publicationfirstpage | 1454 | |
dc.identifier.publicationissue | 4 | |
dc.identifier.publicationlastpage | 1474 | |
dc.identifier.publicationtitle | SIAM-ASA Journal on Uncertainty Quantification | en |
dc.identifier.publicationvolume | 6 | |
dc.identifier.uri | https://hdl.handle.net/10016/32327 | |
dc.identifier.uxxi | AR/0000026510 | |
dc.language.iso | eng | en |
dc.publisher | Society for Industrial and Applied Mathematics (SIAM) | en |
dc.rights | © 2018, Society for Industrial and Applied Mathematics and American Statistical Association | en |
dc.rights.accessRights | open access | en |
dc.subject.eciencia | Matemáticas | es |
dc.subject.other | Multilevel | en |
dc.subject.other | Monte Carlo | en |
dc.subject.other | Stochastic | en |
dc.subject.other | Numerical analysis | en |
dc.subject.other | Stoppe diffusions | en |
dc.title | Multilevel Estimation of Expected Exit Times and Other Functionals of Stopped Diffusions | en |
dc.type | research article | * |
dc.type.hasVersion | VoR | * |
dspace.entity.type | Publication |
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