Computational Science - ICCS 2004

DOI10.1007/b98005zbMath1102.65302OpenAlexW1792251604WikidataQ123847152 ScholiaQ123847152MaRDI QIDQ5712710

Eckhard Platen, Nicola Bruti-Liberati

Publication date: 23 December 2005

Published in: Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/b98005

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (4)

Approximation of jump diffusions in finance and economics ⋮ Simplified order 4.0 weak Taylor schemes for additive noise ⋮ A hardware generator of multi-point distributed random numbers for Monte Carlo simulation ⋮ A simplified weak simulation method for the probabilistic response analysis of nonlinear random vibration problems

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