Nested multilevel Monte Carlo methods and a modified Euler-Maruyama scheme utilising approximate Gaussian random variables suitable for vectorised hardware and low-precisions
<p>We present a modified Euler-Maruyama scheme using approximate random variables, produced by the inverse transform method, using cheap approximations to the inverse Gaussian cumulative distribution function. We analyse the error for two approximations: a piecewise constant approximation on e...
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| Format: | Thesis |
| Language: | English |
| Published: |
2021
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