Multilevel path simulation for weak approximation schemes with application to Lévy-driven SDEs (Q520679): Difference between revisions
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| Property / Mathematics Subject Classification ID: 60H35 / rank | |||
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| Property / Mathematics Subject Classification ID: 60G51 / rank | |||
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| Property / Mathematics Subject Classification ID: 60H10 / rank | |||
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| Property / zbMATH DE Number: 6701615 / rank | |||
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Lévy-driven stochastic differential equations | |||
| Property / zbMATH Keywords: Lévy-driven stochastic differential equations / rank | |||
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multilevel Monte Carlo | |||
| Property / zbMATH Keywords: multilevel Monte Carlo / rank | |||
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weak approximation schemes | |||
| Property / zbMATH Keywords: weak approximation schemes / rank | |||
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Revision as of 05:17, 1 July 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multilevel path simulation for weak approximation schemes with application to Lévy-driven SDEs |
scientific article |
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Multilevel path simulation for weak approximation schemes with application to Lévy-driven SDEs (English)
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5 April 2017
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Lévy-driven stochastic differential equations
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multilevel Monte Carlo
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weak approximation schemes
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