Improved Stabilized Multilevel Monte Carlo Method for Stiff Stochastic Differential Equations
نویسندگان
چکیده
An improved stabilized multilevel Monte Carlo (MLMC) method is introduced for stiff stochastic differential equations in the mean square sense. Using S-ROCK2 with weak order 2 on the finest time grid and S-ROCK1 (weak order 1) on the other levels reduces the bias while preserving all the stability features of the stabilized MLMC approach. Numerical experiments illustrate the theoretical findings.
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تاریخ انتشار 2013