Stabilized multilevel Monte Carlo method for stiff stochastic differential equations
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Publication:347978
DOI10.1016/j.jcp.2013.05.039zbMath1349.65028OpenAlexW2000136588MaRDI QIDQ347978
Adrian Blumenthal, Assyr Abdulle
Publication date: 5 December 2016
Published in: Journal of Computational Physics (Search for Journal in Brave)
Full work available at URL: http://infoscience.epfl.ch/record/183502
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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