Multilevel Monte Carlo for stochastic differential equations with small noise
type: Item
instance of: scholarly article
zbMATH Open document ID: 1334.60128
DOI: 10.1137/15M1024664
author: Desmond J. Higham
author: David F. Anderson
author: Yu Sun
published in: SIAM Journal on Numerical Analysis
publication date: 2016-03-16T00:00:00Z
full work available at URL: https://arxiv.org/abs/1412.3039
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 65C30
zbMATH DE Number: 6556613
zbMATH Keywords: stochastic differential equations
zbMATH Keywords: multilevel Monte Carlo method
zbMATH Keywords: Euler-Maruyama method
zbMATH Keywords: small noise
MaRDI profile type: MaRDI publication profile
arXiv ID: 1412.3039
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OpenAlex ID: W24418085
title: Multilevel Monte Carlo for stochastic differential equations with small noise
description: scientific article; zbMATH DE number 6556613