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Analysis of multilevel Monte Carlo path simulation using the Milstein discretisation (2019)

First Author: B. Giles M

Attributed to: Inference, COmputation and Numerics for Insights into Cities (ICONIC) funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.3934/dcdsb.2018335

Publication URI: http://dx.doi.org/10.3934/dcdsb.2018335

Type: Journal Article/Review

Parent Publication: Discrete & Continuous Dynamical Systems - B

Issue: 8