Approximating inverse cumulative distribution functions to produce approximate random variables (Q6601383)
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scientific article; zbMATH DE number 7910041
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Approximating inverse cumulative distribution functions to produce approximate random variables |
scientific article; zbMATH DE number 7910041 |
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Approximating inverse cumulative distribution functions to produce approximate random variables (English)
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10 September 2024
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approximations
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random variables
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inverse cumulative distribution functions
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random number generation
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Gaussian distribution
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geometric Brownian motion
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Cox-Ingersoll-Ross process
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non-central \(\chi^2\) distribution
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multilevel Monte Carlo
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Euler-Maruyama scheme
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Milstein scheme
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high-performance computing
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