Random bit multilevel algorithms for stochastic differential equations
From MaRDI portal
Publication:2274401
DOI10.1016/j.jco.2019.01.002zbMath1480.65015arXiv1808.10623OpenAlexW2889236854MaRDI QIDQ2274401
Michael B. Giles, Lukas Mayer, Klaus Ritter, Mario Hefter
Publication date: 19 September 2019
Published in: Journal of Complexity (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1808.10623
Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items (5)
Asymptotics of one-dimensional Lévy approximations ⋮ Best finite constrained approximations of one-dimensional probabilities ⋮ Lower Bounds for the Number of Random Bits in Monte Carlo Algorithms ⋮ On the Power of Restricted Monte Carlo Algorithms ⋮ Analysis of Nested Multilevel Monte Carlo Using Approximate Normal Random Variables
Cites Work
- Multilevel path simulation for weak approximation schemes with application to Lévy-driven SDEs
- Infinite-dimensional quadrature and approximation of distributions
- Deterministic and stochastic error bounds in numerical analysis
- Optimal error bound of restricted Monte Carlo integration on anisotropic Sobolev classes
- Optimal integration error on anisotropic classes for restricted Monte Carlo and quantum algorithms
- Multilevel Monte Carlo Methods
- The Monte Carlo Algorithm with a Pseudorandom Generator
- Uniform decomposition of probability measures: quantization, clustering and rate of convergence
- Coin Tossing Algorithms for Integral Equations and Tractability
- Improving multilevel Monte Carlo for stochastic differential equations with application to the Langevin equation
- Quantum complexity of integration
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Random bit multilevel algorithms for stochastic differential equations
