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

zbMATH Keywords

algorithmsstochastic differential equationnumerical examplesBlack-Scholes modelvariance reductionmolecular simulationMonte-Carlo methodbackward Kolmogorov equationpolymeric fluidsreduced-basis methods

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Statistical mechanics of polymers (82D60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Uses Software

• rbMIT