A fully parallelizable space-time multilevel Monte Carlo method for stochastic differential equations with additive noise (Q4569310)
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scientific article; zbMATH DE number 6897153
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| English | A fully parallelizable space-time multilevel Monte Carlo method for stochastic differential equations with additive noise |
scientific article; zbMATH DE number 6897153 |
Statements
A Fully Parallelizable Space-Time Multilevel Monte Carlo Method for Stochastic Differential Equations with Additive Noise (English)
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28 June 2018
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Monte Carlo estimators
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space-time multigrid
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stochastic differential equations
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stochastic partial differential equations
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parallel-in-time algorithms
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0.8653101921081543
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0.7992682456970215
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0.7990200519561768
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0.7762345671653748
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0.7651168704032898
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