Non-nested Adaptive Timesteps in Multilevel Monte Carlo Computations

DOI10.1007/978-3-319-33507-0_14zbMath1356.65017MaRDI QIDQ2957039

Michael B. Giles, Christopher G. Lester, James Whittle

Publication date: 20 January 2017

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

Full work available at URL: https://doi.org/10.1007/978-3-319-33507-0_14

zbMATH Keywords

numerical experiments; stochastic differential equations; multilevel Monte Carlo; continuous-time Markov process; adaptive timestep

Mathematics Subject Classification ID

65C05: Monte Carlo methods

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

34F05: Ordinary differential equations and systems with randomness

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

Uses Software

• Matlab