Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation

标题
Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
作者
关键词
-
出版物
ANNALS OF APPLIED PROBABILITY
Volume 24, Issue 4, Pages 1585-1620
出版商
Institute of Mathematical Statistics
发表日期
2014-05-14
DOI
10.1214/13-aap957

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