A variance reduction method for parametrized stochastic differential equations using the reduced basis paradigm
DOI10.4310/CMS.2010.v8.n3.a7zbMath1213.65016arXiv0906.3600MaRDI QIDQ620036
Tony Lelièvre, Sebastien Boyabal
Publication date: 19 January 2011
Published in: Communications in Mathematical Sciences (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0906.3600
algorithms; stochastic differential equation; numerical examples; Black-Scholes model; variance reduction; molecular simulation; Monte-Carlo method; backward Kolmogorov equation; polymeric fluids; reduced-basis methods
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
82D60: Statistical mechanics of polymers
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
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