Multilevel Estimation of Expected Exit Times and Other Functionals of Stopped Diffusions Articles uri icon

publication date

  • October 2018

start page

  • 1454

end page

  • 1474


  • 4


  • 6

International Standard Serial Number (ISSN)

  • 2166-2525


  • This paper proposes and analyses a new multilevel Monte Carlo method for the estimation of mean exit times for multi-dimensional Brownian diffusions, and associated functionals which correspond to solutions to high dimensional parabolic PDEs through the Feynman-Kac formula. In particular, it is proved that the complexity to achieve an epsilon root-mean-square error is O (epsilon−2 |log epsilon|3).


  • Mathematics


  • multilevel; monte carlo; stochastic; numerical analysis; stopped diffusions