Multi-level Monte Carlo methods with the truncated Euler–Maruyama scheme for stochastic differential equations (Q5028557)
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scientific article; zbMATH DE number 7471967
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English | Multi-level Monte Carlo methods with the truncated Euler–Maruyama scheme for stochastic differential equations |
scientific article; zbMATH DE number 7471967 |
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Multi-level Monte Carlo methods with the truncated Euler–Maruyama scheme for stochastic differential equations (English)
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10 February 2022
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truncated Euler-Maruyama method
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multi-level Monte Carlo method
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stochastic differential equations
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nonlinear coefficients
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approximation to expectation
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