A Fully Parallelizable Space-Time Multilevel Monte Carlo Method for Stochastic Differential Equations with Additive Noise
DOI10.1137/17M1146725zbMath1391.65023OpenAlexW2808840529MaRDI QIDQ4569310
Andreas Thalhammer, Martin Neumüller
Publication date: 28 June 2018
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/17m1146725
stochastic differential equationsstochastic partial differential equationsMonte Carlo estimatorsspace-time multigridparallel-in-time algorithms
Monte Carlo methods (65C05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55)
Uses Software
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