The multilevel Monte Carlo method used on a Lévy driven SDE (Q3580728)
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scientific article; zbMATH DE number 5770203
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| English | The multilevel Monte Carlo method used on a Lévy driven SDE |
scientific article; zbMATH DE number 5770203 |
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The Multilevel Monte Carlo method used on a Lévy driven SDE (English)
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13 August 2010
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Lévy processes
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stochastic differential equations
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Monte Carlo
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multilevel Monte Carlo
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complexity theorem
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Euler scheme
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Blumenthal-Getoor index
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0.8933773636817932
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0.8860062956809998
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0.858119010925293
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0.8552387952804565
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0.8478633165359497
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