A Micro-Macro Acceleration Method for the Monte Carlo Simulation of Stochastic Differential Equations
DOI10.1137/16M1066658zbMath1378.65031arXiv1511.06171MaRDI QIDQ4594904
Przemysław Zieliński, Giovanni Samaey, Kristian Debrabant
Publication date: 27 November 2017
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1511.06171
algorithmconvergencestochastic differential equationsnumerical experimententropy optimizationmulti-scale modelingmicro-macro simulationsfinitely extensible nonlinear elastic dumbbellsaccelerated Monte Carlo
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 (11)
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