Improving MLMC for SDEs with Applications to the Langevin Equation and Atmospheric Dispersion

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：coastllee

【摘要】

：

　　We apply several well-known tricks to improve the efficiency of the Multilevel MC method for SDEs: modified equations analysis as an alternative to strong-a

【作者】

：

MuellerEike;ScheichlRobert;ShardlowTony;

【机构】

：

Univ.of Bath

【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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　　We apply several well-known tricks to improve the efficiency of the Multilevel MC method for SDEs: modified equations analysis as an alternative to strong-approximation theory for the integrator; operator splitting techniques; extrapolation; and discrete random variables in place of Gaussian increments.

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Improving MLMC for SDEs with Applications to the Langevin Equation and Atmospheric Dispersion

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