A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations

Published 2011 View Full Article

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Title
A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations
Authors
Keywords
-
Journal
STOCHASTIC PROCESSES AND THEIR APPLICATIONS
Volume 121, Issue 7, Pages 1565-1587
Publisher
Elsevier BV
Online
2011-04-16
DOI
10.1016/j.spa.2011.03.015

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