An analysis of the convergence of the direct simulation Monte Carlo method

DOI10.1016/j.jcp.2015.02.039zbMath1351.82072OpenAlexW2028453583MaRDI QIDQ729198

Iain D. Boyd, Cyril Galitzine

Publication date: 20 December 2016

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

Full work available at URL: https://doi.org/10.1016/j.jcp.2015.02.039

zbMATH Keywords

correlationconvergencedirect simulation Monte Carloparticle methoderrordsmc

Mathematics Subject Classification ID

Uses Software

• MONACO

Cites Work

• Unnamed Item
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• Financial Statistics and Mathematical Finance
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