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Construction of a Mean Square Error Adaptive Euler-Maruyama Method With Applications in Multilevel Monte Carlo.
Håkon Hoel
Juho Häppölä
Raúl Tempone
Published in:
MCQMC (2014)
Keyphrases
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monte carlo
monte carlo simulation
computational cost
adaptive sampling
simulation study
optimal solution
search space
probabilistic model
simulated annealing
frequency domain
convergence rate
optimal strategy
monte carlo method