Multilevel Monte Carlo for Stochastic Differential Equations with Small Noise
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Publication:2791763
DOI10.1137/15M1024664zbMath1334.60128arXiv1412.3039OpenAlexW24418085MaRDI QIDQ2791763
Yu Sun, Desmond J. Higham, David F. Anderson
Publication date: 16 March 2016
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1412.3039
Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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