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

Giles, Michael B.; Bernal Martínez, Francisco Manuel

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