Open AccessA Multi-Level Dimension Reduction Monte-Carlo Method for Jump-Diffusion Models
Author(s) -
DuyMinh Dang
Publication year - 2015
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.2571525
Subject(s) - monte carlo method , jump diffusion , statistical physics , monte carlo method in statistical physics , jump , dimension (graph theory) , reduction (mathematics) , diffusion , mathematics , quasi monte carlo method , kinetic monte carlo , dimensionality reduction , monte carlo molecular modeling , markov chain monte carlo , hybrid monte carlo , computer science , statistics , physics , geometry , thermodynamics , combinatorics , artificial intelligence , quantum mechanics
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