Multilevel Monte Carlo for stochastic differential equations with additive fractional noise

Annals of Operations Research

Volumn 189, Issue 1, 2011, Pages 255-276

  Kloeden, Peter E ^a   Neuenkirch, Andreas ^b   Pavani, Raffaella ^c  

^a GOETHE UNIVERSITY   (Germany)

^b TU DORTMUND UNIVERSITY   (Germany)

^c POLITECNICO DI MILANO   (Italy)

Author keywords

Euler scheme; Fractional Brownian motion; Malliavin calculus; Multilevel Monte Carlo; SDEs with additive noise

Indexed keywords

EID: 80052377200     PISSN: 02545330     EISSN: 15729338     Source Type: Journal    
DOI: 10.1007/s10479-009-0663-8     Document Type: Article

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