Rounding error using low precision approximate random variables
For numerical approximations to stochastic differential equations using the Euler Maruyama scheme, we propose incorporating approximate random variables computed using low precisions, such as single and half precision. We propose and justify a model for the rounding error incurred, and produce an av...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Society for Industrial and Applied Mathematics
2024
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