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math.PR2017★ 3 cited
Sampling of probability measures in the convex order by Wasserstein projection
Aurélien Alfonsi, Jacopo Corbetta, Benjamin Jourdain
In this paper, for and two probability measures on with finite moments of order , we define the respective projections for the -Wasserstein dist…
math.PR2017
Non-asymptotic error bounds for The Multilevel Monte Carlo Euler method applied to SDEs with constant diffusion coefficient
Benjamin Jourdain, Ahmed Kebaier
In this paper, we are interested in deriving non-asymptotic error bounds for the multilevel Monte Carlo method. As a first step, we deal with the explicit Euler discretization of s…