June 2020
Intermediate to advanced
158 pages
4h 36m
English
Content preview from Multivariate Algorithms and Information-Based Complexity
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2 An adaptive random bit multilevel algorithm for SDEs
Michael B. Giles
Mathematical Institute, University of Oxford, Oxford, England
Mario Hefter
Fachbereich Mathematik, Technische Universität Kaiserslautern, Kaiserslautern, Germany
Lukas Mayer
Fachbereich Mathematik, Technische Universität Kaiserslautern, Kaiserslautern, Germany
Klaus Ritter
Fachbereich Mathematik, Technische Universität Kaiserslautern, Kaiserslautern, Germany
Abstract
We study the approximation of expectations for solutions X of stochastic differential equations and functionals f on the path space by means of Monte Carlo algorithms that only use random bits instead of random numbers. We construct an adaptive random bit multilevel algorithm, which is based ...
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