Variance reduction for Monte Carlo simulation of stochastic environmental models
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Publication:1861685
DOI10.1016/S0307-904X(01)00091-9zbMath1014.92046MaRDI QIDQ1861685
K. Ponnambalam, Peter E. Kloeden, John G. M. Schoenmakers, Arnold W. Heemink
Publication date: 10 March 2003
Published in: Applied Mathematical Modelling (Search for Journal in Brave)
stochastic differential equations; variance reduction; Girsanov transformation; Monte-Carlo method; weak approximations; environmental modelling
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