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

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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.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.
dc.identifier.issn 2166-2525
dc.identifier.uri http://hdl.handle.net/10016/32327
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).
dc.format.extent 21
dc.language.iso eng
dc.publisher Society for Industrial and Applied Mathematics (SIAM)
dc.rights © 2018, Society for Industrial and Applied Mathematics and American Statistical Association
dc.subject.other Multilevel
dc.subject.other Monte Carlo
dc.subject.other Stochastic
dc.subject.other Numerical analysis
dc.subject.other Stoppe diffusions
dc.title Multilevel Estimation of Expected Exit Times and Other Functionals of Stopped Diffusions
dc.type article
dc.subject.eciencia Matemáticas
dc.identifier.doi https://doi.org/10.1137/17M1116660
dc.rights.accessRights openAccess
dc.type.version publishedVersion
dc.identifier.publicationfirstpage 1454
dc.identifier.publicationissue 4
dc.identifier.publicationlastpage 1474
dc.identifier.publicationtitle SIAM-ASA Journal on Uncertainty Quantification
dc.identifier.publicationvolume 6
dc.identifier.uxxi AR/0000026510
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