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5. A Multilevel Monte Carlo Method for the Kinetic Equations of Plasma Dynamics

A Multilevel Monte Carlo Method for the Kinetic Equations of Plasma Dynamics

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：zjuxy2001

【摘 要】

：

　　The multilevel Monte Carlo(MLMC)method-introduced by Giles for rapid valuation of financial assets modeled by SDEs-has found numerous applications in other

【作 者】

：

Ricketson Lee 

【机 构】

：

New York Univ.

【出 处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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论文部分内容阅读

　　The multilevel Monte Carlo(MLMC)method-introduced by Giles for rapid valuation of financial assets modeled by SDEs-has found numerous applications in other fields,where it frequently accelerates computations by multiple orders of magnitude.

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