On quasi-Monte Carlo simulation of stochastic differential equations
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Publication:3127320
DOI10.1090/S0025-5718-97-00820-XzbMath0864.65099MaRDI QIDQ3127320
Publication date: 8 April 1997
Published in: Mathematics of Computation (Search for Journal in Brave)
complexity; numerical examples; stochastic differential equations; explicit Euler scheme; quasi-Monte Carlo simulation
65C05: Monte Carlo methods
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
65C99: Probabilistic methods, stochastic differential equations
Related Items
Quasi–Monte Carlo integration over $\mathbb {R}^d$, A quasi-Monte Carlo Metropolis algorithm, High dimensional simulation, Quasi-random simulation of linear kinetic equations, Quasi-Monte Carlo simulation of diffusion, Fast simulations of stochastic dynamical systems, Probabilistically induced domain decomposition methods for elliptic boundary-value problems
Cites Work