Multilevel Monte Carlo by using the Halton sequence

DOI10.1515/MCMA-2020-2065zbMath1454.65003OpenAlexW3025359872MaRDI QIDQ2213359

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

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

stochastic differential equationlow discrepancy sequencesmultilevel Monte Carlo method

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) 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)

Related Items (1)

A mixed spectral treatment for the stochastic models with random parameters

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