Random bit multilevel algorithms for stochastic differential equations
We study the approximation of expectations E(f(X)) for solutions X of SDEs and functionals f : C([0, 1], Rr) → R by means of restricted Monte Carlo algorithms that may only use random bits instead of random numbers. We consider the worst case setting for functionals f from the Lipschitz class w.r.t....
| Автори: | , , , |
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| Формат: | Journal article |
| Мова: | English |
| Опубліковано: |
Elsevier
2019
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