Stabilized multilevel Monte Carlo method for stiff stochastic differential equations
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Publication:347978
DOI10.1016/J.JCP.2013.05.039zbMATH Open1349.65028OpenAlexW2000136588MaRDI QIDQ347978FDOQ347978
Authors: Assyr Abdulle, Adrian Blumenthal 
Publication date: 5 December 2016
Published in: Journal of Computational Physics (Search for Journal in Brave)
Full work available at URL: http://infoscience.epfl.ch/record/183502
Recommendations
Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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Cited In (15)
- Improved stabilized multilevel Monte Carlo method for stiff stochastic differential equations
- Study of micro-macro acceleration schemes for linear slow-fast stochastic differential equations with additive noise
- An explicit split-step truncated Milstein method for stochastic differential equations
- Rapid Covariance-Based Sampling of Linear SPDE Approximations in the Multilevel Monte Carlo Method
- Wavelets Galerkin method for solving stochastic heat equation
- Wilson wavelets for solving nonlinear stochastic integral equations
- Optimal explicit stabilized integrator of weak order 1 for stiff and ergodic stochastic differential equations
- A computational method for solving stochastic Itô-Volterra integral equations based on stochastic operational matrix for generalized hat basis functions
- An efficient computational method for solving nonlinear stochastic Itô integral equations: application for stochastic problems in physics
- Explicit stabilized multirate method for stiff stochastic differential equations
- On multilevel Monte Carlo methods for deterministic and uncertain hyperbolic systems
- Wavelets method for solving nonlinear stochastic Itô-Volterra integral equations
- New explicit stabilized stochastic Runge-Kutta methods with weak second order for stiff Itô stochastic differential equations
- Algorithms for integration of stochastic differential equations using parallel optimized sampling in the Stratonovich calculus
- Mean-square stability analysis of approximations of stochastic differential equations in infinite dimensions
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