Construction of a Mean Square Error Adaptive Euler–Maruyama Method With Applications in Multilevel Monte Carlo (Q2957024)
From MaRDI portal
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)
0 references
20 January 2017
0 references
multilevel Monte Carlo
0 references
stochastic differential equations
0 references
Euler-Maruyama method
0 references
adaptive methods
0 references
a posteriori error estimation
0 references
adjoints
0 references
algorithm
0 references
numerical example
0 references
