Construction of a Mean Square Error Adaptive Euler–Maruyama Method With Applications in Multilevel Monte Carlo

DOI10.1007/978-3-319-33507-0_2zbMath1356.65019arXiv1411.5515OpenAlexW2966136639MaRDI QIDQ2957024

Juho Häppölä, Raúl Tempone, Håkon Hoel

Publication date: 20 January 2017

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1411.5515

zbMATH Keywords

algorithmnumerical examplestochastic differential equationsadaptive methodsa posteriori error estimationmultilevel Monte CarloEuler-Maruyama methodadjoints

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (3)

Computable Error Estimates for Finite Element Approximations of Elliptic Partial Differential Equations with Rough Stochastic Data ⋮ Central limit theorems for multilevel Monte Carlo methods ⋮ Numerical methods for conservation laws with rough flux

Uses Software

• Matplotlib

Cites Work

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