Combining Space-Time Multigrid Techniques with Multilevel Monte Carlo Methods for SDEs
In this work we combine multilevel Monte Carlo methods for time-dependent stochastic differential equations with a space-time multigrid method. The idea is to use the space-time hierarchy from the multilevel Monte Carlo method also for the solution process of the arising linear systems. This symbiosis leads to a robust and parallel method with respect to space, time and probability. We show the performance of this approach by several numerical experiments which demonstrate the advantages of this approach.
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