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Mathematics > Probability

Title: Multilevel Monte Carlo EM scheme for MV-SDEs with small noise

Authors: Ulises Botija-Munoz, Chenggui Yuan
(Submitted on 2 Oct 2023)
Abstract: 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.
Subjects: Probability (math.PR)
Cite as: arXiv:2310.01068 [math.PR]
  (or arXiv:2310.01068v1 [math.PR] for this version)

Submission history

From: Ulises Botija-Munoz [view email]
[v1] Mon, 2 Oct 2023 10:23:27 GMT (18kb)
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