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The Multilevel Monte Carlo method used on a Lévy driven SDE.

Henning Marxen
Published in: Monte Carlo Methods Appl. (2010)
Keyphrases
  • monte carlo method
  • markov chain
  • monte carlo
  • genetic algorithm
  • posterior distribution
  • bayesian learning
  • maximum likelihood estimation
  • mathematical models
  • pattern recognition
  • active learning