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- W2201273861 abstract "The goal of this paper is to present a series of recent contributions on some various problems of numerical probability. Beginning with the Richardson-Romberg Multilevel Monte-Carlo method which, among other fields of applications, is a very efficient method for the approximation of diffusion processes, we focus on some adaptive multilevel splitting algorithms for rare event simulation. Then, the third part is devoted to the simulation of McKean-Vlasov forward and decoupled forward-backward stochastic differential equations by some cubature algorithms. Finally, we tackle the problem of the weak error estimation in total variation norm for a general Markov semi-group." @default.
- W2201273861 created "2016-06-24" @default.
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- W2201273861 date "2015-10-01" @default.
- W2201273861 modified "2023-10-01" @default.
- W2201273861 title "Recent advances in various fields of numerical probability" @default.
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- W2201273861 doi "https://doi.org/10.1051/proc/201551015" @default.
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