2. An adaptive random bit multilevel algorithm for SDEs

DOI10.1515/9783110635461-002OpenAlexW4213205379MaRDI QIDQ3300050

Michael B. Giles, Lukas Mayer, Klaus Ritter, Mario Hefter

Publication date: 27 July 2020

Published in: Multivariate Algorithms and Information-Based Complexity (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1902.09984

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Lower Bounds for the Number of Random Bits in Monte Carlo Algorithms

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