Improved Stabilized Multilevel Monte Carlo Method for Stiff Stochastic Differential Equations

DOI10.1007/978-3-319-10705-9_53zbMath1328.65013OpenAlexW1489015093MaRDI QIDQ5264882

Assyr Abdulle, Adrian Blumenthal

Publication date: 28 July 2015

Published in: Lecture Notes in Computational Science and Engineering (Search for Journal in Brave)

Full work available at URL: https://infoscience.epfl.ch/record/196334/files/Abdulle_blumenthal.pdf

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (1)

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Cites Work

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• On the Acceleration of the Multi-Level Monte Carlo Method
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• Second order Chebyshev methods based on orthogonal polynomials

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