On quasi-Monte Carlo simulation of stochastic differential equations
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Publication:3127320
DOI10.1090/S0025-5718-97-00820-XzbMath0864.65099OpenAlexW2066404210MaRDI QIDQ3127320
Publication date: 8 April 1997
Published in: Mathematics of Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1090/s0025-5718-97-00820-x
complexitynumerical examplesstochastic differential equationsexplicit Euler schemequasi-Monte Carlo simulation
Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic methods, stochastic differential equations (65C99)
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Cites Work