T.Nagapetyan
Multilevel Monte Carlo method for CDF approximation
The multi-level Monte Carlo approach is a powerful variance reduction technique, which is applied, in particular, in the context of SDEs. While the standard task is to compute the expectation of a real-valued functional, we discuss how to approximate a CDF and PDF on a compact interval. We establish upper bounds for the error of suitable multi-level algorithms. Moreover, we obtain strong convergence rates for approximation of exit times from domains with and without reflecting boundaries.
| 06.12.2012 | |