Adaptive multilevel Monte Carlo simulation
Book chapters
Year:
2012
Authors:
Hoel Håkon, Von Schwerin Erik, Szepessy Anders, Tempone Raúl
-
Computational finance,
-
Monte Carlo
-
multilevel
-
adaptivity
-
weak approximation
-
error control
-
Euler–Maruyama method
-
a posteriori error estimates
-
backward dual functions
-
adjoints