Multi-scale methods for stochastic differential equations
Standard Monte Carlo methods are used extensively to solve stochastic differential equations. This thesis investigates a Monte Carlo (MC) method called multilevel Monte Carlo that solves the equations on several grids, each with a specific number of grid points. The multilevel MC reduces the computa...
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| Format: | Others |
| Language: | English |
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Umeå universitet, Institutionen för fysik
2012
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-53704 |