Multi-level Monte Carlo methods for the approximation of invariant measures of stochastic differential equations
We develop a framework that allows the use of the multi-level Monte Carlo (MLMC) methodology (Giles2015) to calculate expectations with respect to the invariant measure of an ergodic SDE. In that context, we study the (over-damped) Langevin equations with a strongly concave potential. We show that,...
| Những tác giả chính: | , , , , |
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| Định dạng: | Journal article |
| Ngôn ngữ: | English |
| Được phát hành: |
Springer
2019
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