An efficient weak Euler-Maruyama type approximation scheme of very high dimensional SDEs by orthogonal random variables (Q2664765): Difference between revisions

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Latest revision as of 05:18, 27 July 2024

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An efficient weak Euler-Maruyama type approximation scheme of very high dimensional SDEs by orthogonal random variables
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    An efficient weak Euler-Maruyama type approximation scheme of very high dimensional SDEs by orthogonal random variables (English)
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    18 November 2021
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    Euler-Maruyama schemes
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    stochastic differential equations
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    Monte Carlo method
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    high dimensional simulation
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    weak rate of convergence
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    Itô-Taylor expansion
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    Wagner-Platen expansion
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