Multi-scale methods for stochastic differential equations

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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Bibliographic Details
Main Author:	Zettervall, Niklas
Format:	Others
Language:	English
Published:	Umeå universitet, Institutionen för fysik 2012
Subjects:	multilevel Monte Carlo multi-scale stochastic differential equations
Online Access:	http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-53704

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