Monte Carlo Methods and Applications

On the discretization schemes for the CIR (and Bessel squared) processes

Aurélien Alfonsi · 2005 · 254 citations

Engineering, Computational Engineering, Computational Physics +14

The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density

Vlad Bally, Denis Talay · 1996 · 185 citations · Full text

Engineering, Mathematics, Probability Theory +11

Optimal quadratic quantization for numerics: the Gaussian case

Gilles Pagès, Jacques Printems · 2003 · 134 citations

Business, Finance, Mathematics +17

A mathematical formalization of the parallel replica dynamics

Claude Le Bris, Tony Lelièvre, Mitchell Luskin et al. · 2012 · 106 citations · Full text

Natural Sciences, Physics, Computational Physics +15

On the use of low discrepancy sequences in Monte Carlo methods

Bruno Tuffin · 1996 · 102 citations

Business, Computer Science, Probability Theory +10