Random bit multilevel algorithms for stochastic differential equations-Reference-Cited by-同舟云学术

Random bit multilevel algorithms for stochastic differential equations

Published:2019-10 Issue: Volume:54 Page:101395
ISSN:0885-064X
Container-title:Journal of Complexity
language:en
Short-container-title:Journal of Complexity

Author:

Giles Michael B.,Hefter Mario,Mayer Lukas,Ritter Klaus

Funder

UK Engineering and Physical Science Research Council

Deutsche Forschungsgemeinschaft (DFG), Germany

Publisher

Elsevier BV

Subject

Applied Mathematics,Control and Optimization,Numerical Analysis,Statistics and Probability,Algebra and Number Theory,General Mathematics

Reference22 articles.

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2. Multilevel path simulation for weak approximation schemes with application to Lévy-driven SDEs;Belomestny;Bernoulli,2017

3. The asymptotics of purely atomic one-dimensional Levy approximations;Berger,2018

4. Best finite approximations of Benford’s law;Berger;J. Theoret. Probab.,2018

5. Mixed precision multilevel Monte Carlo on hybrid computing systems;Brugger,2014

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