Analysis of a micro–macro acceleration method with minimum relative entropy moment matching-Reference-Cited by-同舟云学术

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Analysis of a micro–macro acceleration method with minimum relative entropy moment matching

Published:2020-06 Issue:6 Volume:130 Page:3753-3801
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Lelièvre Tony,Samaey Giovanni,Zieliński Przemysław^ORCID

Funder

European Research Council under the European Union’s Seventh Framework Programme

Research Council of KU Leuven

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference47 articles.

1. Methods of Information Geometry;Amari,2000

2. Stochastic Simulation: Algorithms and Analysis;Asmussen,2007

3. Minimum-relative-entropy calibration of asset-pricing models;Avellaneda;Int. J. Theor. Appl. Financ.,1998

4. CaLibrating volatility surfaces via relative-entropy minimization;Avellaneda;Appl. Math. Financ.,1997

5. Diffusion Processes and Stochastic Calculus;Baudoin,2014

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Parareal computation of stochastic differential equations with time-scale separation: a numerical convergence study;Computing and Visualization in Science;2020-09-23

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