Multilevel Monte Carlo by using the Halton sequence

DOI10.1515/MCMA-2020-2065MaRDI QIDQ2213359zbMATH OpenOpenAlexFDO

Authors Shady Ahmed Nagy, Mohamed A. El-Beltagy, Mohamed I. Wafa

Publication date 1 December 2020

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/mcma-2020-2065

zbMATH Keywords

low discrepancy sequencesmultilevel Monte Carlo methodstochastic differential equation

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Numerical solutions to stochastic differential and integral equations (65C30) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55)

Recommendations

• Randomized Halton sequences
• On the Scrambled Halton Sequence
• scientific article; zbMATH DE number 1969617
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Cites work

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Cited in

(3)

• A mixed spectral treatment for the stochastic models with random parameters
• A computational investigation of the optimal Halton sequence in QMC applications
• A continuation multilevel Monte Carlo algorithm

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