Adaptive multilevel Monte Carlo simulation
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Publication:2897265
DOI10.1007/978-3-642-21943-6_10zbMATH Open1245.65002OpenAlexW105300439MaRDI QIDQ2897265FDOQ2897265
Authors: Anders Szepessy, R. Tempone, Erik von Schwerin, Håkon Hoel
Publication date: 10 July 2012
Published in: Numerical Analysis of Multiscale Computations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-21943-6_10
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- Multifidelity Monte Carlo Estimation with Adaptive Low-Fidelity Models
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- An adaptive Euler-Maruyama scheme for stochastic differential equations with discontinuous drift and its convergence analysis
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