Multilevel Monte Carlo Implementation for SDEs Driven by Truncated Stable Processes (Q2957022)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multilevel Monte Carlo Implementation for SDEs Driven by Truncated Stable Processes |
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Multilevel Monte Carlo Implementation for SDEs Driven by Truncated Stable Processes (English)
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20 January 2017
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multilevel Monte Carlo
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Lévy-driven stochastic differential equation
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truncated stable distributions
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computation of expectations
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numerical examples
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algorithm
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