Ninomiya-Victoir scheme : Multilevel Monte Carlo estimators and discretization of the involved Ordinary Differential Equations
Publication:4606416
DOI10.1051/proc/201759001zbMath1384.65042arXiv1612.07017OpenAlexW2767465718MaRDI QIDQ4606416
Benjamin Jourdain, Anis Al Gerbi, Emmanuelle Clément
Publication date: 7 March 2018
Published in: ESAIM: Proceedings and Surveys (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1612.07017
convergenceRunge-Kutta methodNinomiya-Victoir schemeBrownian vector fieldsmultilevel Monte Carlo estimators
Monte Carlo methods (65C05) Nonlinear ordinary differential equations and systems (34A34) Stability and convergence of numerical methods for ordinary differential equations (65L20) Numerical methods for initial value problems involving ordinary differential equations (65L05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Error bounds for numerical methods for ordinary differential equations (65L70)
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