Recursive marginal quantization of higher-order schemes
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Publication:4554449
DOI10.1080/14697688.2017.1402125zbMath1400.91604arXiv1701.02681OpenAlexW2578428697MaRDI QIDQ4554449
Eckhard Platen, J. Kienitz, Thomas Andrew McWalter, Robert E. Rudd
Publication date: 14 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1701.02681
reflectiontruncationvector quantizationEuler schemeMilstein schemerecursive marginal quantizationweak order 2.0 scheme
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