Quantum-accelerated multilevel Monte Carlo methods for stochastic differential equations in mathematical finance
Inspired by recent progress in quantum algorithms for ordinary and partial differential equations, we study quantum algorithms for stochastic differential equations (SDEs). Firstly we provide a quantum algorithm that gives a quadratic speed-up for multilevel Monte Carlo methods in a general setting....
| Main Authors: | , , , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Verein zur Förderung des Open Access Publizierens in den Quantenwissenschaften
2021-06-01
|
| Series: | Quantum |
| Online Access: | https://quantum-journal.org/papers/q-2021-06-24-481/pdf/ |