Mean Exit Times and the Multilevel Monte Carlo Method (Q5397862)

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scientific article; zbMATH DE number 6261280
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Mean Exit Times and the Multilevel Monte Carlo Method
scientific article; zbMATH DE number 6261280

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    Mean Exit Times and the Multilevel Monte Carlo Method (English)
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    25 February 2014
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    Euler-Maruyama approximation
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    expected computational cost
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    expected hitting time
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    mean exit time
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    Monte Carlo
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    multilevel Monte Carlo
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    stochastic differential equation
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    stochastic simulation
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    strong and weak convergence
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