期刊
SIAM-ASA JOURNAL ON UNCERTAINTY QUANTIFICATION
卷 3, 期 1, 页码 267-295出版社
SIAM PUBLICATIONS
DOI: 10.1137/140960086
关键词
multilevel Monte Carlo; approximation of distribution functions and densities; stochastic differential equations; path-(in) dependent functionals; stopped exit times; smoothing
资金
- BMBF [03MS612D FROPT]
- DFG within the Priority Program 1324
- EPSRC [EP/E031455/1, EP/H05183X/1] Funding Source: UKRI
- Engineering and Physical Sciences Research Council [EP/H05183X/1, EP/E031455/1] Funding Source: researchfish
We construct and analyze multilevel Monte Carlo methods for the approximation of distribution functions and densities of univariate random variables. Since, by assumption, the target distribution is not known explicitly, approximations have to be used. We provide a general analysis under suitable assumptions on the weak and strong convergence. We apply the results to smooth path-independent and path-dependent functionals and to stopped exit times of stochastic differential equations (SDEs).
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