Approximation for non-smooth functionals of stochastic differential equations with irregular drift (Q2405375)
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scientific article; zbMATH DE number 6779601
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| English | Approximation for non-smooth functionals of stochastic differential equations with irregular drift |
scientific article; zbMATH DE number 6779601 |
Statements
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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0.8786333799362183
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0.859199583530426
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0.8547923564910889
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0.8533369302749634
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0.8277522325515747
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