Variance reduction by antithetic random numbers of Monte Carlo methods for unrestricted and reflecting diffusions
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- LĂ©pingle, D., 1995. "Euler scheme for reflected stochastic differential equations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 38(1), pages 119-126.
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Cited by:
- Costantini C., 2001. "A Simple Variance Reduction Method With Applications To Finance And Queueing Theory," Monte Carlo Methods and Applications, De Gruyter, vol. 7(1-2), pages 131-140, December.
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Keywords
Variance reduction; Simulation; Stochastic differential equations; Boundary conditions;All these keywords.
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