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Search: subject:"multilevel Monte Carlo"
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Multilevel Monte Carlo
3
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2
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Wasserstein and Kolmogorov bounds for maximum and the time maximum is attained
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multilevel Monte Carlo
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Chiang, Nai-Yuan
2
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Long, Quan
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González Cázares, Jorge
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Jourdain, Benjamin
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Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
González Cázares, Jorge
;
Mijatovi´c, Aleksandar
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 671-732
Persistent link: https://www.econbiz.de/10013440249
Saved in:
2
Efficient propagation of uncertainties in manufacturing supply chains: Time buckets, L-leap, and
multilevel
Monte
Carlo
methods
Chiang, Nai-Yuan
;
Lin, Yiqing
;
Long, Quan
- In:
Operations Research Perspectives
7
(
2020
),
pp. 1-15
bucket. We propose using the
multilevel
Monte
Carlo
(MLMC) method to efficiently propagate the uncertainties in a supply …
Persistent link: https://www.econbiz.de/10012662806
Saved in:
3
Efficient propagation of uncertainties in manufacturing supply chains: time buckets, L-leap, and
multilevel
Monte
Carlo
methods
Chiang, Nai-Yuan
;
Lin, Yiqing
;
Long, Quan
- In:
Operations research perspectives
7
(
2020
),
pp. 1-15
bucket. We propose using the
multilevel
Monte
Carlo
(MLMC) method to efficiently propagate the uncertainties in a supply …
Persistent link: https://www.econbiz.de/10012198079
Saved in:
4
High order discretization schemes for stochastic volatility models
Jourdain, Benjamin
;
Sbai, Mohamed
-
HAL
-
2013
theoretical rates of convergence by numerical experiments and show that our schemes are well adapted to the
multilevel
Monte
Carlo
…
Persistent link: https://www.econbiz.de/10010736427
Saved in:
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