Ninomiya-Victoir scheme : Multilevel Monte Carlo estimators and discretization of the involved Ordinary Differential Equations *
In this paper, we recall the result about the strong convergence rate of the Ninomiya-Victoir scheme and the properties of the multilevel Monte Carlo estimators involving this scheme that we introduced and studied in [2]. We are also interested in the error introduced by discretizing the ordinary di...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
EDP Sciences
2017-01-01
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| Series: | ESAIM: Proceedings and Surveys |
| Online Access: | https://doi.org/10.1051/proc/201759001 |