Undiased monte carlo estimators for functionals of weak solutions of stochastic diffretial equations

DOI10.1080/17442508908833581zbMath0681.60051OpenAlexW1990740279MaRDI QIDQ4730556

Wolfgang Wagner

Publication date: 1989

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508908833581

zbMATH Keywords

Monte Carlo methodsnumerical schemeevaluation of functionals of Ito diffusions

Mathematics Subject Classification ID

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

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