Giles, Michael B.Bernal Martínez, Francisco Manuel2021-04-122021-04-122018-10-18Giles, 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. 1454–1474.2166-2525https://hdl.handle.net/10016/32327This 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).21eng© 2018, Society for Industrial and Applied Mathematics and American Statistical AssociationMultilevelMonte CarloStochasticNumerical analysisStoppe diffusionsresearch articleMatemáticashttps://doi.org/10.1137/17M1116660open access145441474SIAM-ASA Journal on Uncertainty Quantification6AR/0000026510