Stabilized multilevel Monte Carlo method for stiff stochastic differential equations (Q347978)
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scientific article; zbMATH DE number 6659801
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| English | Stabilized multilevel Monte Carlo method for stiff stochastic differential equations |
scientific article; zbMATH DE number 6659801 |
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Stabilized multilevel Monte Carlo method for stiff stochastic differential equations (English)
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5 December 2016
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multilevel Monte Carlo
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stochastic differential equations
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stability
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stiffness
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S-ROCK method
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0.9350361227989196
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0.8161548972129822
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0.8093940019607544
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0.789050281047821
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