Adaptive Multilevel Monte Carlo for Probabilities
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- Christian Bayer & Chiheb Ben Hammouda & Raul Tempone, 2020. "Multilevel Monte Carlo with Numerical Smoothing for Robust and Efficient Computation of Probabilities and Densities," Papers 2003.05708, arXiv.org, revised Oct 2023.
- Rainer Avikainen, 2009. "On irregular functionals of SDEs and the Euler scheme," Finance and Stochastics, Springer, vol. 13(3), pages 381-401, September.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2021-08-09 (Computational Economics)
- NEP-ORE-2021-08-09 (Operations Research)
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