An efficient algorithm for accelerating Monte Carlo approximations of the solution to boundary value problems

DOI10.1007/s10915-015-0033-4zbMath1335.65009OpenAlexW2051514849MaRDI QIDQ257095

Juan A. Acebrón, Francisco Bernal, Sara Mancini

Publication date: 15 March 2016

Published in: Journal of Scientific Computing (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/32112

zbMATH Keywords

Monte Carlo methodparallel computingnumerical experimentFeynman-Kac formulabounded diffusionfirst exit timeRomberg extrapolation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Parallel numerical computation (65Y05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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