{"paper":{"title":"Three Improvements to Multi-Level Monte Carlo Simulation of SDE Systems","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"math.NA","authors_text":"L.F. Ricketson","submitted_at":"2013-09-08T03:33:26Z","abstract_excerpt":"We introduce three related but distinct improvements to multilevel Monte Carlo (MLMC) methods for the solution of systems of stochastic differential equations (SDEs). Firstly, we show that when the payoff function is twice continuously differentiable, the computational cost of the scheme can be dramatically reduced using a technique we call `Ito linearization'. Secondly, by again using Ito's lemma, we introduce an alternative to the antithetic method of Giles et. al [M.B. Giles, L. Szpruch. arXiv preprint arXiv:1202.6283, 2012] that uses an approximate version of the Milstein discretization re"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1309.1922","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}