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

Giles, Michael B.; Bernal Martínez, Francisco Manuel

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

Author(s): Giles, Michael B.; Bernal Martínez, Francisco Manuel

Publisher: Society for Industrial and Applied Mathematics (SIAM)

Issued date: 2018-10-18

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.

ISSN: 2166-2525

DOI: https://doi.org/10.1137/17M1116660

Keywords: Multilevel , Monte Carlo , Stochastic , Numerical analysis , Stoppe diffusions

URI: http://hdl.handle.net/10016/32327

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 Feynma [+]

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