Stochastic numerics for mathematical physics

DOI10.1007/978-3-030-82040-4MaRDI QIDQ3383383zbMATH OpenOpenAlexFDO

Authors M. V. Tretyakov, Grigori N. Milstein

Publication date 23 September 2021

Published in Scientific Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-030-82040-4

zbMATH Keywords

geometric integratorsmulti-level Monte Carlo methodnonglobally Lipschitz coefficients

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Diffusion processes (60J60) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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