A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations
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Publication:550167
DOI10.1016/j.spa.2011.03.015zbMath1234.60067OpenAlexW2036737833MaRDI QIDQ550167
Felix Heidenreich, Steffen Dereich
Publication date: 8 July 2011
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2011.03.015
Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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