Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators
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Publication:308405
DOI10.1515/mcma-2016-0109zbMath1344.65013arXiv1508.06492OpenAlexW2962998834MaRDI QIDQ308405
Emmanuelle Clément, Benjamin Jourdain, Anis Al Gerbi
Publication date: 6 September 2016
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1508.06492
Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items (4)
Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators ⋮ Central limit theorem for the antithetic multilevel Monte Carlo method ⋮ Ninomiya-Victoir scheme : Multilevel Monte Carlo estimators and discretization of the involved Ordinary Differential Equations ⋮ Limit theorems for weighted and regular multilevel estimators
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