Antithetic Multilevel Monte Carlo Estimation for Multidimensional SDEs

By M. Giles, Lukasz Szpruch. 2013

26 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

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In Economics and Econometrics

1. Nicolas Chopin
2. Chris J. Oates
3. Mark A. Girolami

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1. Nicolas Chopin
2. Chris J. Oates
3. Mark A. Girolami

Citations in the corpus

• Control functionals for Monte Carlo integration (2014, methodology): “…variates (Glasserman, 2004; Mira et al., 2013; Li et al., 2016), (g) multilevel MC and related techniques (e.g. Heinrich (1995), Giles (2013) and Giles and Szpruch, 2014), (h) Bayesian Monte Carlo (BMC) methods (O’Hagan, 1991; Rasmussen and Ghahramani, 2003; Briol et al., 2016a,b) and (i) a…”