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This repository includes Matlab codes/routines that were used in our manuscript entitled "Importance sampling for a robust and efficient multilevel Monte Carlo estimator for stochastic reaction networks" that can be found in this preprint: https://arxiv.org/abs/1911.06286
BLUEST: Python package for single- and multi-output multilevel best linear unbiased estimation
ScaSML solver for high dimensional gradient dependent semilinear PDE
Multilevel Monte-Carlo simulation of Lévy-driven SDEs via a Continuous-Time Markov Chain approximation
The aim of this project is to compare different pricing methods for an Asian option. Comparisons will be made in terms of MSE, CPU time and (empirical) variance of estimators.
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