4 citations · 4 across the 2 of their papers we have counts for
2 papers
math.NA2018★ 4 cited
Weak Antithetic MLMC Estimation of SDEs with the Milstein scheme for Low-Dimensional Wiener Processes
Kristian Debrabant, Azadeh Ghasemifard, Nicky C. Mattsson
In this paper, we implement a weak Milstein Scheme to simulate low-dimensional stochastic differential equations (SDEs). We prove that combining the antithetic multilevel Monte-Car…
math.NA2018
Multilevel Path Simulation to Jump-Diffusion Process with Superlinear Drift
Azadeh Ghasemifard, Mahdieh Tahmasebi
In this work, we will show strong convergence of the Multilevel Monte-Carlo (MLMC) algorithm with split-step backward Euler (SSBE) and backward (drift-implicit) Euler (BE) schemes…