"A second-order weak approximation of SDEs using a Markov chain without ..."

Toshihiro Yamada, Kenta Yamamoto (2018)

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DOI: 10.1515/MCMA-2018-2024

access: closed

type: Journal Article

metadata version: 2020-07-03

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Toshihiro Yamada, Kenta Yamamoto:
A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation. Monte Carlo Methods Appl. 24(4): 289-308 (2018)

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