Strong error analysis of Euler methods for overdamped generalized Langevin equations with fractional noise: Nonlinear case
DOI10.1051/m2an/2023015zbMath1525.65011arXiv2201.07592OpenAlexW4320712538MaRDI QIDQ6050011
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Publication date: 18 September 2023
Published in: ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2201.07592
fractional Brownian motionMalliavin calculusgeneralized Langevin equationmultilevel Monte Carlo simulationfast Euler method
Monte Carlo methods (65C05) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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