Multi-level Monte Carlo methods with the truncated Euler–Maruyama scheme for stochastic differential equations (Q5028557): 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 19:29, 5 March 2024
scientific article; zbMATH DE number 7471967
Language | Label | Description | Also known as |
---|---|---|---|
English | Multi-level Monte Carlo methods with the truncated Euler–Maruyama scheme for stochastic differential equations |
scientific article; zbMATH DE number 7471967 |
Statements
Multi-level Monte Carlo methods with the truncated Euler–Maruyama scheme for stochastic differential equations (English)
0 references
10 February 2022
0 references
truncated Euler-Maruyama method
0 references
multi-level Monte Carlo method
0 references
stochastic differential equations
0 references
nonlinear coefficients
0 references
approximation to expectation
0 references