Multi-step Richardson-Romberg Extrapolation: Remarks on Variance Control and Complexity (Q5295323): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 20:40, 5 March 2024
scientific article; zbMATH DE number 5175229
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multi-step Richardson-Romberg Extrapolation: Remarks on Variance Control and Complexity |
scientific article; zbMATH DE number 5175229 |
Statements
Multi-step Richardson-Romberg Extrapolation: Remarks on Variance Control and Complexity (English)
0 references
27 July 2007
0 references
Euler-Maruyama scheme
0 references
Vandermonde determinant
0 references
lookback option
0 references
barrier option
0 references
Brownian diffusion process
0 references
numerical experiments
0 references
multi-step Richardson-Romberg extrapolation method
0 references
weak time discretization error
0 references
Monte Carlo simulations
0 references
Brownian bridge
0 references
