Variance Reduction for Simulated Diffusions
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Publication:4320758
DOI10.1137/S0036139992236220zbMath0811.60046MaRDI QIDQ4320758
Publication date: 2 May 1995
Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)
numerical methods; stochastic differential equations; initial value problems; Itô stochastic differential equations; Monte-Carlo methods; Funke-Shevlyakov-Haussmann integral representation theorem
65C05: Monte Carlo methods
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control
65M99: Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems
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