Construction of a Mean Square Error Adaptive Euler–Maruyama Method With Applications in Multilevel Monte Carlo
DOI10.1007/978-3-319-33507-0_2zbMath1356.65019arXiv1411.5515OpenAlexW2966136639MaRDI QIDQ2957024
Juho Häppölä, Raúl Tempone, Håkon Hoel
Publication date: 20 January 2017
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1411.5515
algorithmnumerical examplestochastic differential equationsadaptive methodsa posteriori error estimationmultilevel Monte CarloEuler-Maruyama methodadjoints
Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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