Approximation for non-smooth functionals of stochastic differential equations with irregular drift (Q2405375)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Approximation for non-smooth functionals of stochastic differential equations with irregular drift |
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Approximation for non-smooth functionals of stochastic differential equations with irregular drift (English)
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25 September 2017
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Euler-Maruyama approximation
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irregular drift
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Monte Carlo method
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reflected stochastic differential equation
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weak approximation
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