Multilevel Monte Carlo by using the Halton sequence
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DOI: 10.1515/mcma-2020-2065
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- Michael B. Giles, 2008. "Multilevel Monte Carlo Path Simulation," Operations Research, INFORMS, vol. 56(3), pages 607-617, June.
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Keywords
Stochastic differential equation; Monte Carlo techniques; low discrepancy sequences; multilevel Monte Carlo method; 81T80; 34k28; 60-XX;All these keywords.
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