Accès à distance ? S'identifier sur le proxy UCLouvain
An antithetic approach of multilevel Richardson-Romberg extrapolation estimator for multidimensional SDES
Primary tabs
- Open access
- 297.51 K
Document type | Contribution à ouvrage collectif (Book Chapter) – Chapitre |
---|---|
Access type | Accès libre |
Publication date | 2017 |
Language | Anglais |
Host document | Dimov, Ivan and Faragó, István and Vulkov, Lubin (eds.) ; "Numerical Analysis and its Applications"- p. 482--491 (ISBN : 978-3-319-57099-0) |
Collection | Lecture Notes in Computer Science - 10187 (ISSN : 0302-9743) |
Peer reviewed | yes |
Publisher | Springer (Cham) |
Publication status | Publié |
Affiliations |
UCL
- SSH/LIDAM/LFIN - Louvain Finance UCL - SSH/IMMAQ/CORE-Center for operations research and econometrics |
Links |
- Lemaire, V., Pagès, G.: Multilevel Richardson-Romberg extrapolation. pre-pub. LPMA 1603 arXiv:1401.1177 (2014). (forthcoming in Bernoulli)
- Giles Michael B., Szpruch Lukasz, Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation, 10.1214/13-aap957
- Giles Michael B., Multilevel Monte Carlo Path Simulation, 10.1287/opre.1070.0496
Bibliographic reference | Mbaye, Cheikh ; Pagès, Gilles ; Vrins, Frédéric. An antithetic approach of multilevel Richardson-Romberg extrapolation estimator for multidimensional SDES. In: Dimov, Ivan and Faragó, István and Vulkov, Lubin (eds.), Numerical Analysis and its Applications, Springer : Cham 2017, p. 482--491 |
---|---|
Permanent URL | http://hdl.handle.net/2078.1/184499 |