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A Micro-Macro Acceleration Method for the Monte Carlo Simulation of Stochastic Differential Equations.
Kristian Debrabant
Giovanni Samaey
Przemyslaw Zielinski
Published in:
SIAM J. Numer. Anal. (2017)
Keyphrases
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monte carlo simulation
markov chain
objective function
monte carlo
dynamic programming
edge detection
non stationary