Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators (Q308405): Difference between revisions

@@ Property / DOI @@
-.1515/mcma-2016-0109
@@ Property / DOI: 10.1515/mcma-2016-0109 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+C30
@@ Property / Mathematics Subject Classification ID: 65C30 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+H35
@@ Property / Mathematics Subject Classification ID: 60H35 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+C05
@@ Property / Mathematics Subject Classification ID: 65C05 / rank @@
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@@ Property / zbMATH DE Number @@
+6623668
@@ Property / zbMATH DE Number: 6623668 / rank @@
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@@ Property / zbMATH Keywords @@
+discretisation of SDEs
@@ Property / zbMATH Keywords: discretisation of SDEs / rank @@
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@@ Property / zbMATH Keywords @@
+multilevel Monte Carlo methods
@@ Property / zbMATH Keywords: multilevel Monte Carlo methods / rank @@
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@@ Property / zbMATH Keywords @@
+strong convergence
@@ Property / zbMATH Keywords: strong convergence / rank @@
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@@ Property / zbMATH Keywords @@
+Ninomiya-Victoir scheme
@@ Property / zbMATH Keywords: Ninomiya-Victoir scheme / rank @@
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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+W2962998834
@@ Property / OpenAlex ID: W2962998834 / rank @@
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@@ Property / arXiv ID @@
+.06492
@@ Property / arXiv ID: 1508.06492 / rank @@
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@@ Property / cites work @@
+Affine diffusions and related processes: simulation, theory and applications
+Normal rank
@@ Property / cites work @@
+Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators
+Normal rank
@@ Property / cites work @@
+On the Acceleration of the Multi-Level Monte Carlo Method
+Normal rank
@@ Property / cites work @@
+Efficient Monte Carlo simulation of security prices
+Normal rank
@@ Property / cites work @@
+Multilevel Monte Carlo Path Simulation
@@ Property / cites work: Multilevel Monte Carlo Path Simulation / rank @@
+Normal rank
@@ Property / cites work @@
+Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
+Normal rank
@@ Property / cites work @@
+Multilevel Richardson-Romberg extrapolation
@@ Property / cites work: Multilevel Richardson-Romberg extrapolation / rank @@
+Normal rank
@@ Property / cites work @@
+Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
+Normal rank
@@ Property / cites work @@
+A new extrapolation method for weak approximation schemes with applications
+Normal rank
@@ Property / cites work @@
+Multi-step Richardson-Romberg Extrapolation: Remarks on Variance Control and Complexity
+Normal rank
@@ Property / cites work @@
+Q4226355
@@ Property / cites work: Q4226355 / rank @@
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@@ Property / DOI @@
+.1515/MCMA-2016-0109
@@ Property / DOI: 10.1515/MCMA-2016-0109 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:308405