\(\varepsilon\)-strong simulation for multidimensional stochastic differential equations via rough path analysis
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Publication:525298
DOI10.1214/16-AAP1204zbMath1436.65012arXiv1403.5722OpenAlexW2963437388MaRDI QIDQ525298
Xinyun Chen, Jing Dong, Jose H. Blanchet
Publication date: 3 May 2017
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1403.5722
Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Rough paths (60L20)
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