Abstract
In this paper we introduce a new multilevel Monte Carlo (MLMC) estimator for multi-dimensional SDEs driven by Brownian motions. Giles has previously shown that if we combine a numerical approximation with strong order of convergence
Citation
Michael B. Giles. Lukasz Szpruch. "Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation." Ann. Appl. Probab. 24 (4) 1585 - 1620, August 2014. https://doi.org/10.1214/13-AAP957
Information