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"Weak antithetic MLMC estimation of SDEs with the Milstein scheme for ..."

Kristian Debrabant, Azadeh Ghasemifard, Nicky C. Mattsson (2019)

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DOI: 10.1016/J.AML.2018.11.017

access: closed

type: Journal Article

metadata version: 2021-10-14

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  - journals/appml/DebrabantGM19
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Kristian Debrabant, Azadeh Ghasemifard, Nicky C. Mattsson:
Weak antithetic MLMC estimation of SDEs with the Milstein scheme for low-dimensional Wiener processes. Appl. Math. Lett. 91: 22-27 (2019)

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