Strong Convergence and Speed up of Nested Stochastic Simulation Algorithm

DOI10.4208/CICP.290313.051213SzbMath1388.65015OpenAlexW2189560038MaRDI QIDQ5372246

Di Liu, Can Huang

Publication date: 27 October 2017

Published in: Communications in Computational Physics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/d4f544ede4a68e3b03f6c0c3e7178cf79dbb7a53

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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