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A Micro-Macro Acceleration Method for the Monte Carlo Simulation of Stochastic Differential Equations.

Kristian DebrabantGiovanni SamaeyPrzemyslaw Zielinski
Published in: SIAM J. Numer. Anal. (2017)
Keyphrases
  • monte carlo simulation
  • markov chain
  • objective function
  • monte carlo
  • dynamic programming
  • edge detection
  • non stationary