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An Antithetic Approach of Multilevel Richardson-Romberg Extrapolation Estimator for Multidimensional SDES

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, Numerical Analysis and its Applications, Springer  : Cham 2017, p. 482--491
Permanent URL http://hdl.handle.net/2078.1/184499
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  2. Giles Michael B., Szpruch Lukasz, Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation, 10.1214/13-aap957
  3. Giles Michael B., Multilevel Monte Carlo Path Simulation, 10.1287/opre.1070.0496