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

MaRDI QIDQ6445205zbMATH OpenFDO

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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