Weak antithetic MLMC estimation of SDEs with the milstein scheme for low-dimensional Wiener processes (Q1726623)
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scientific article; zbMATH DE number 7026130
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| English | Weak antithetic MLMC estimation of SDEs with the milstein scheme for low-dimensional Wiener processes |
scientific article; zbMATH DE number 7026130 |
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Weak antithetic MLMC estimation of SDEs with the milstein scheme for low-dimensional Wiener processes (English)
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20 February 2019
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multilevel Monte-Carlo
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stochastic differential equation
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weak approximation schemes
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Milstein scheme
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0.8282687067985535
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0.8172157406806946
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0.7963940501213074
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0.7936177253723145
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