Non-nested Adaptive Timesteps in Multilevel Monte Carlo Computations

DOI10.1007/978-3-319-33507-0_14zbMath1356.65017OpenAlexW2485868595MaRDI QIDQ2957039

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

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 experimentsstochastic differential equationsmultilevel Monte Carlocontinuous-time Markov processadaptive timestep

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 (6)

Uncertainty Quantification by Multilevel Monte Carlo and Local Time-Stepping for Wave Propagation ⋮ Weak variable step-size schemes for stochastic differential equations based on controlling conditional moments ⋮ Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift ⋮ Multilevel Monte Carlo and improved timestepping methods in atmospheric dispersion modelling ⋮ MLMC for Nested Expectations ⋮ Numerical methods for conservation laws with rough flux

Uses Software

• Matlab

Cites Work

• Multilevel hybrid Chernoff tau-leap
• Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations
• The optimal uniform approximation of systems of stochastic differential equations
• Adaptive Multilevel Monte Carlo Simulation
• Multilevel Monte Carlo for Continuous Time Markov Chains, with Applications in Biochemical Kinetics
• Multilevel Monte Carlo Methods
• Multilevel Monte Carlo Path Simulation
• Existence of Global Weak Solutions to Some Regularized Kinetic Models for Dilute Polymers
• Complexity of Multilevel Monte Carlo Tau-Leaping
• Implementation and analysis of an adaptive multilevel Monte Carlo algorithm
• A Multilevel Adaptive Reaction-splitting Simulation Method for Stochastic Reaction Networks
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