Multi-step Richardson-Romberg Extrapolation: Remarks on Variance Control and Complexity (Q5295323): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / arXiv ID @@
+math/0612523
@@ Property / arXiv ID: math/0612523 / rank @@
+Normal rank
@@ Property / cites work @@
+Adaptative Monte Carlo Method, A Variance Reduction Technique
+Normal rank
@@ Property / cites work @@
+The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
+Normal rank
@@ Property / cites work @@
+The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
+Normal rank
@@ Property / cites work @@
+Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme
+Normal rank
@@ Property / cites work @@
+Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control
+Normal rank
@@ Property / cites work @@
+Variance Reduction Methods for Simulation of Densities on Wiener Space
+Normal rank
@@ Property / cites work @@
+Expansion of the global error for numerical schemes solving stochastic differential equations
+Normal rank