Improved Stabilized Multilevel Monte Carlo Method for Stiff Stochastic Differential Equations

DOI10.1007/978-3-319-10705-9_53zbMATH Open1328.65013OpenAlexW1489015093MaRDI QIDQ5264882FDOQ5264882

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)

Cites Work

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• Mathematical biology. Vol. 1: An introduction.
• Multilevel Monte Carlo Path Simulation
• S-ROCK methods for stiff Itô SDEs
• Stabilized methods for stiff stochastic systems
• On the Acceleration of the Multi-Level Monte Carlo Method
• Second order Chebyshev methods based on orthogonal polynomials
• Continuous Markov processes and stochastic equations
• Weak second-order explicit stabilized methods for stiff stochastic differential equations
• Stabilized multilevel Monte Carlo method for stiff stochastic differential equations

Cited In (1)

• Legendre wavelets Galerkin method for solving nonlinear stochastic integral equations

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