Multilevel Monte Carlo for stochastic differential equations with additive fractional noise (Q666368)
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scientific article; zbMATH DE number 6012991
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| English | Multilevel Monte Carlo for stochastic differential equations with additive fractional noise |
scientific article; zbMATH DE number 6012991 |
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Multilevel Monte Carlo for stochastic differential equations with additive fractional noise (English)
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8 March 2012
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SDEs with additive noise
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fractional Brownian motion
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multilevel Monte Carlo
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Euler scheme
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Malliavin calculus
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0.8270342350006104
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0.8097067475318909
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0.8023544549942017
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0.8012375831604004
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