Complexity of Multilevel Monte Carlo Tau-Leaping

DOI10.1137/130940761zbMath1327.60136arXiv1310.2676OpenAlexW2050083387MaRDI QIDQ5245403

Desmond J. Higham, Yu Sun, David F. Anderson

Publication date: 8 April 2015

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.2676

zbMATH Keywords

computational complexityvariancecontinuous-time Markov chainscouplingmultilevel Monte Carlo methodtau-leaping

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Probabilistic models, generic numerical methods in probability and statistics (65C20) Monte Carlo methods (65C05) Biochemistry, molecular biology (92C40) Numerical analysis or methods applied to Markov chains (65C40) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Continuous-time Markov processes on discrete state spaces (60J27)

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