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International Journal of Computer Mathematics Volume 95, 2018 - Issue 9
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Original Articles

Multi-level Monte Carlo methods with the truncated Euler–Maruyama scheme for stochastic differential equations

Qian GuoDepartment of Mathematics, Shanghai Normal University, Shanghai, ChinaView further author information
,
Wei LiuDepartment of Mathematics, Shanghai Normal University, Shanghai, ChinaView further author information
,
Xuerong MaoDepartment of Mathematics, Shanghai Normal University, Shanghai, China;Department of Mathematics and Statistics, University of Strathclyde, Glasgow, UKORCID Iconhttp://orcid.org/0000-0002-6768-9864View further author information
ORCID Icon &
Weijun ZhanDepartment of Mathematics, Shanghai Normal University, Shanghai, ChinaCorrespondence[email protected]
[email protected]
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Pages 1715-1726 | Received 23 Nov 2016, Accepted 09 Apr 2017, Published online: 07 Jun 2017

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