Ninomiya–Victoir scheme: Strong convergence, antithetic version and application to multilevel estimators
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DOI: 10.1515/mcma-2016-0109
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References listed on IDEAS
- Syoiti Ninomiya & Nicolas Victoir, 2008. "Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(2), pages 107-121.
- Michael B. Giles, 2008. "Multilevel Monte Carlo Path Simulation," Operations Research, INFORMS, vol. 56(3), pages 607-617, June.
- Anis Al Gerbi & Benjamin Jourdain & Emmanuelle Cl'ement, 2015. "Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators," Papers 1508.06492, arXiv.org, revised Oct 2015.
- Michael B. Giles & Lukasz Szpruch, 2012. "Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without L\'{e}vy area simulation," Papers 1202.6283, arXiv.org, revised May 2014.
- Aurélien Alfonsi, 2015. "Affine Diffusions and Related Processes: Simulation, Theory and Applications," Post-Print hal-03127212, HAL.
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Cited by:
- Giorgi Daphné & Lemaire Vincent & Pagès Gilles, 2017. "Limit theorems for weighted and regular Multilevel estimators," Monte Carlo Methods and Applications, De Gruyter, vol. 23(1), pages 43-70, March.
- Al Gerbi, A. & Jourdain, B. & Clément, E., 2018. "Asymptotics for the normalized error of the Ninomiya–Victoir scheme," Stochastic Processes and their Applications, Elsevier, vol. 128(6), pages 1889-1928.
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Keywords
Discretisation of SDEs; multilevel Monte Carlo methods; strong convergence; Ninomiya–Victoir scheme;All these keywords.
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