An adaptive random bit multilevel algorithm for SDEs
We study the approximation of expectations E(f (X)) for solutions X of stochastic differential equations and functionals f on the path space by means of Monte Carlo algorithms that only use random bits instead of random numbers. We construct an adaptive random bit multilevel algorithm, which is base...
| Main Authors: | , , , |
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| Other Authors: | |
| Format: | Book section |
| Language: | English |
| Published: |
De Gruyter
2020
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