Multilevel Richardson-Romberg Extrapolation
نویسندگان
چکیده
منابع مشابه
Multilevel Richardson-Romberg extrapolation
We propose and analyze a Multilevel Richardson-Romberg (ML2R) estimator which combines the higher order bias cancellation of the Multistep Richardson-Romberg method introduced in [Pag07] and the variance control resulting from the stratification introduced in the Multilevel Monte Carlo (MLMC) method (see [Gil08, Hei01]). Thus, in standard frameworks like discretization schemes of diffusion proc...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2014
ISSN: 1556-5068
DOI: 10.2139/ssrn.2539114