Multilevel Monte Carlo approximation of distribution functions and densities (Q2945150)
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scientific article; zbMATH DE number 6479882
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| English | Multilevel Monte Carlo approximation of distribution functions and densities |
scientific article; zbMATH DE number 6479882 |
Statements
Multilevel Monte Carlo Approximation of Distribution Functions and Densities (English)
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9 September 2015
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multilevel Monte Carlo
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approximation of distribution functions and densities
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stochastic differential equations
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path-(in)dependent functionals
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stopped exit times
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smoothing
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0.813286542892456
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0.7966868877410889
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0.7939704656600952
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