Modification of two-step Monte Carlo algorithms based on the symmetry of the first step

DOI10.1134/S0965542509110098zbMATH Open1224.65004OpenAlexW2039542212MaRDI QIDQ2995689FDOQ2995689

G. A. Mikhaĭlov, S. A. Rozhenko

Publication date: 4 May 2011

Published in: Computational Mathematics and Mathematical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0965542509110098

zbMATH Keywords

Bellman principleMonte Carlo method, two-step algorithm, splitting method, complexity estimation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Complexity and performance of numerical algorithms (65Y20)

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