Stabilized multilevel Monte Carlo method for stiff stochastic differential equations
نویسندگان
چکیده
منابع مشابه
Stabilized multilevel Monte Carlo method for stiff stochastic differential equations
A multilevel Monte Carlo (MLMC) method for mean square stable stochastic differential equations with multiple scales is proposed. For such problems, that we call stiff, the performance of MLMC methods based on classical explicit methods deteriorates because of the time step restriction to resolve the fastest scales that prevents to exploit all the levels of the MLMC approach. We show that by sw...
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ژورنال
عنوان ژورنال: Journal of Computational Physics
سال: 2013
ISSN: 0021-9991
DOI: 10.1016/j.jcp.2013.05.039