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المؤلفون: Kristian Debrabant, Michael B. Giles, Andreas Rössler
المصدر: Giles, M, Debrabant, K & Rößler, A 2019, ' Analysis of multilevel Monte Carlo path simulation using the Milstein discretisation ', Discrete and Continuous Dynamical Systems. Series B, vol. 24, no. 8, pp. 3881-3903 . https://doi.org/10.3934/dcdsb.2018335
مصطلحات موضوعية: Computational complexity theory, Computer science, Monte Carlo method, Computational Finance (q-fin.CP), 60H10, 60H35, 65C05, 65C30, 01 natural sciences, Mathematics::Numerical Analysis, FOS: Economics and business, Stochastic differential equation, Quantitative Finance - Computational Finance, Convergence (routing), Discrete Mathematics and Combinatorics, Applied mathematics, 0101 mathematics, Monte Carlo, Applied Mathematics, Numerical analysis, Computational finance, 010102 general mathematics, Estimator, Multilevel, 010101 applied mathematics, Rate of convergence, Stochastic differential equations
URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0de9063f5ca2bdfd247ec88b181d1054
https://doi.org/10.3934/dcdsb.2018335