RT Journal Article
T1 Multilevel Estimation of Expected Exit Times and Other Functionals of Stopped Diffusions
A1 Giles, Michael B.
A1 Bernal Martínez, Francisco Manuel
AB 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).
PB Society for Industrial and Applied Mathematics (SIAM)
SN 2166-2525
YR 2018
FD 2018-10-18
LK https://hdl.handle.net/10016/32327
UL https://hdl.handle.net/10016/32327
LA eng
DS e-Archivo
RD 1 sept. 2024