An Antithetic Multilevel Monte Carlo-Milstein Scheme for Stochastic Partial Differential Equations

arXiv2307.14169MaRDI QIDQ6445205FDOQ6445205

Authors: Abdul-Lateef Haji-Al, Andreas Stein 

Publication date: 26 July 2023

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)

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