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An Adaptive Random Bit Multilevel Algorithm for SDEs - MaRDI portal

An Adaptive Random Bit Multilevel Algorithm for SDEs

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Publication:6314654

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DOI10.1515/9783110635461-002zbMath1523.65005arXiv1902.09984MaRDI QIDQ6314654

Michael B. Giles, Klaus Ritter, Lukas Mayer, Mario Hefter

Publication date: 26 February 2019

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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