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Multilevel Monte Carlo for stochastic differential equations with additive fractional noise

✍ Scribed by Peter E. Kloeden; Andreas Neuenkirch; Raffaella Pavani

Publisher
Springer US
Year
2009
Tongue
English
Weight
707 KB
Volume
189
Category
Article
ISSN
0254-5330

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We outline a method for solving numerically initial-value and boundary-value problems for ordinary differential equations whose coefficients and/or initial and boundary data are random quantities. The method consists of simulating on the computer several realizations of the stochastic processes that