A control variate method for weak approximation of SDEs via discretization of numerical error of asymptotic expansion
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DOI: 10.1515/mcma-2019-2044
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Keywords
Heath–Platen estimator; weak approximation; stochastic differential equation; asymptotic expansion; Monte Carlo simulation; 60H35; 65C05; 65C30; 91G60;All these keywords.
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