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An Antithetic Approach of Multilevel Richardson-Romberg Extrapolation Estimator for Multidimensional SDES

Cheikh Mbaye, Gilles Pagès, Frédéric Vrins. An Antithetic Approach of Multilevel Richardson-Romberg Extrapolation Estimator for Multidimensional SDES. In Ivan Dimov, István Faragó, Lubin G. Vulkov, editors, Numerical Analysis and Its Applications - 6th International Conference, NAA 2016, Lozenetz, Bulgaria, June 15-22, 2016, Revised Selected Papers. Volume 10187 of Lecture Notes in Computer Science, pages 482-491, 2016. [doi]

Authors

Cheikh Mbaye

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Gilles Pagès

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Frédéric Vrins

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