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MULTILEVEL MONTE CARLO EM SCHEME FOR MV-SDES WITH SMALL NOISE
被引：0
作者：
不详
机构：
来源：
NUMERICAL ALGEBRA CONTROL AND OPTIMIZATION
|
2024年
/
14卷
/
04期
关键词：
Multilevel Monte Carlo;
McKean-Vlasov stochastic differential equations;
small noise;
Euler-Maruyama scheme;
variance of coupled paths;
D O I：
暂无
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, we estimate the variance of two coupled paths derived with the Multilevel Monte Carlo method combined with the Euler Maruyama discretization scheme for the simulation of McKean-Vlasov stochastic differential equations with small noise. The result often translates into a more efficient method than the standard Monte Carlo method combined with algorithms tailored to the small noise setting.
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收藏
页码：748 / 777
页数：30
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