Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation

Published 2014 View Full Article

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Title
Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
Authors
Keywords
-
Journal
ANNALS OF APPLIED PROBABILITY
Volume 24, Issue 4, Pages 1585-1620
Publisher
Institute of Mathematical Statistics
Online
2014-05-14
DOI
10.1214/13-aap957

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