Efficient almost-exact Lévy area sampling
Year of publication: |
2014
|
---|---|
Authors: | Malham, Simon J.A. ; Wiese, Anke |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 88.2014, C, p. 50-55
|
Publisher: |
Elsevier |
Subject: | Lévy area | Strong simulation | Logistic expansion | Chebyshev approximation | Milstein method |
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