Stochastic Numerics for Mathematical Physics

DOI10.1007/978-3-030-82040-4zbMath1493.60002OpenAlexW4206627649MaRDI QIDQ3383383

M. V. Tretyakov, Grigori N. Milstein

Publication date: 23 September 2021

Published in: Scientific Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-82040-4

zbMATH Keywords

geometric integratorsmulti-level Monte Carlo methodnonglobally Lipschitz coefficients

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

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