Improved efficiency of multilevel Monte Carlo for stochastic PDE through strong pairwise coupling
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Publication:2103434
DOI10.1007/S10915-022-02031-2OpenAlexW3190602470MaRDI QIDQ2103434FDOQ2103434
Authors: Neil K. Chada, Håkon Hoel, Ajay Jasra, Georgios E. Zouraris 
Publication date: 13 December 2022
Published in: Journal of Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2108.00794
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Cited In (5)
- Improved Efficiency of Multilevel Monte Carlo for Stochastic PDE through Strong Pairwise Coupling
- Efficient White Noise Sampling and Coupling for Multilevel Monte Carlo with Nonnested Meshes
- Multilevel MC method for weak approximation of stochastic differential equation with the exact coupling scheme
- A multilevel Monte Carlo algorithm for stochastic differential equations driven by countably dimensional Wiener process and Poisson random measure
- Improving multilevel Monte Carlo for stochastic differential equations with application to the Langevin equation
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