Improved stabilized multilevel Monte Carlo method for stiff stochastic differential equations

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

Authors: 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

Recommendations

• Stabilized multilevel Monte Carlo method for stiff stochastic differential equations
• An improved Milstein method for stiff stochastic differential equations
• Improving multilevel Monte Carlo for stochastic differential equations with application to the Langevin equation
• Stabilized methods for stiff stochastic systems
• Implementation and analysis of an adaptive multilevel Monte Carlo algorithm

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• 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
• Title not available (Why is that?)

Cited In (1)

• Legendre wavelets Galerkin method for solving nonlinear stochastic integral equations

This page was built for publication: Improved stabilized multilevel Monte Carlo method for stiff stochastic differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5264882)