An efficient algorithm for accelerating Monte Carlo approximations of the solution to boundary value problems (Q257095)
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scientific article; zbMATH DE number 6555589
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| English | An efficient algorithm for accelerating Monte Carlo approximations of the solution to boundary value problems |
scientific article; zbMATH DE number 6555589 |
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An efficient algorithm for accelerating Monte Carlo approximations of the solution to boundary value problems (English)
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15 March 2016
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Monte Carlo method
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Romberg extrapolation
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bounded diffusion
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Feynman-Kac formula
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first exit time
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parallel computing
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numerical experiment
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0.7972636222839355
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0.7872627377510071
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0.767609715461731
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0.7614863514900208
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