Efficient discretisation of stochastic differential equations
The aim of this study is to find a generic method for generating a path of the solution of a given stochastic differential equation which is more efficient than the standard Euler–Maruyama scheme with Gaussian increments. First we characterize the asymptotic distribution of pathwise error in the Eul...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Taylor and Francis
2019
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