Mean Exit Times and the Multilevel Monte Carlo Method (Q5397862)
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scientific article; zbMATH DE number 6261280
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mean Exit Times and the Multilevel Monte Carlo Method |
scientific article; zbMATH DE number 6261280 |
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Mean Exit Times and the Multilevel Monte Carlo Method (English)
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25 February 2014
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Euler-Maruyama approximation
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expected computational cost
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expected hitting time
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mean exit time
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Monte Carlo
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multilevel Monte Carlo
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stochastic differential equation
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stochastic simulation
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strong and weak convergence
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