A control variate method for weak approximation of SDEs via discretization of numerical error of asymptotic expansion (Q2335720)
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scientific article; zbMATH DE number 7130557
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| English | A control variate method for weak approximation of SDEs via discretization of numerical error of asymptotic expansion |
scientific article; zbMATH DE number 7130557 |
Statements
A control variate method for weak approximation of SDEs via discretization of numerical error of asymptotic expansion (English)
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15 November 2019
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stochastic differential equation
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asymptotic expansion
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Monte Carlo simulation
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0.8102587461471558
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0.8061944842338562
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0.8049116730690002
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