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Improving multilevel Monte Carlo for stochastic differential equations with application to the Langevin equation

Eike H Müller1, Rob Scheichl1, Tony Shardlow1

  • 1Department of mathematical Sciences , University of Bath Claverton Down , Bath BA2 7AY, UK.

Proceedings. Mathematical, Physical, and Engineering Sciences
|August 23, 2016
PubMed

Keywords:
extrapolationgeometrical integratorsmodified equationsnumerical solution of stochastic differential equationsweak approximation

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