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Improved Stabilized Multilevel Monte Carlo Method for Stiff Stochastic Differential Equations

  • Assyr AbdulleEmail author
  • Adrian Blumenthal
Conference paper
Part of the Lecture Notes in Computational Science and Engineering book series (LNCSE, volume 103)

Abstract

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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Copyright information

© Springer International Publishing Switzerland 2015

Authors and Affiliations

  1. 1.ANMC, Section de MathématiquesLausanneSwitzerland

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