An efficient weak Euler-Maruyama type approximation scheme of very high dimensional SDEs by orthogonal random variables

DOI10.1016/j.matcom.2021.03.010arXiv2001.05640MaRDI QIDQ6332955

Tomooki Yuasa, Takashi Sawai, Masahiro Kinuya, Jirô Akahori

Publication date: 15 January 2020

Mathematics Subject Classification ID

Numerical analysis (65-XX) Probability theory and stochastic processes (60-XX)