Construction of a Mean Square Error Adaptive Euler–Maruyama Method With Applications in Multilevel Monte Carlo (Q2957024): Difference between revisions
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Revision as of 10:07, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Construction of a Mean Square Error Adaptive Euler–Maruyama Method With Applications in Multilevel Monte Carlo |
scientific article |
Statements
Construction of a Mean Square Error Adaptive Euler–Maruyama Method With Applications in Multilevel Monte Carlo (English)
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20 January 2017
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multilevel Monte Carlo
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stochastic differential equations
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Euler-Maruyama method
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adaptive methods
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a posteriori error estimation
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adjoints
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algorithm
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numerical example
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