Monte carlo evaluation of functionals of solutions of stochastic differential equations. variance reduction and numerical examples

DOI10.1080/07362998808809161zbMath0671.60058OpenAlexW2022918713MaRDI QIDQ3823581

Wolfgang Wagner

Publication date: 1988

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362998808809161

zbMATH Keywords

Numerical examplesMonte Carlo theoryvariance-reducing estimatorsvariance-reducing Euler estimators

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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