An efficient weak Euler-Maruyama type approximation scheme of very high dimensional SDEs by orthogonal random variables (Q2664765)
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scientific article; zbMATH DE number 7428973
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| English | An efficient weak Euler-Maruyama type approximation scheme of very high dimensional SDEs by orthogonal random variables |
scientific article; zbMATH DE number 7428973 |
Statements
An efficient weak Euler-Maruyama type approximation scheme of very high dimensional SDEs by orthogonal random variables (English)
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18 November 2021
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Euler-Maruyama schemes
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stochastic differential equations
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Monte Carlo method
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high dimensional simulation
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weak rate of convergence
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Itô-Taylor expansion
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Wagner-Platen expansion
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0.7672234177589417
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0.754209578037262
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0.7520795464515686
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0.7417427897453308
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