Approximating inverse cumulative distribution functions to produce approximate random variables
DOI10.1145/3604935MaRDI QIDQ6601383
Oliver Sheridan-Methven, Mike Giles
Publication date: 10 September 2024
Published in: ACM Transactions on Mathematical Software (Search for Journal in Brave)
random variablesapproximationsGaussian distributiongeometric Brownian motionrandom number generationhigh-performance computingMilstein schememultilevel Monte CarloEuler-Maruyama schemeCox-Ingersoll-Ross processinverse cumulative distribution functionsnon-central \(\chi^2\) distribution
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