Construction of a Mean Square Error Adaptive Euler–Maruyama Method With Applications in Multilevel Monte Carlo

Mathematics

• Mean Square Error 100%
• Monte Carlo Algorithm 100%
• Monte Carlo 100%
• Error Expansion 75%
• Stochastic Differential Equation 75%
• Time Step 50%
• Numerical Solution 50%
• Posteriori 25%
• Approximation Problem 25%
• Number 25%
• Weak Approximation 25%
• Numerical Example 25%

Keyphrases

• Multilevel Monte Carlo Algorithms 100%
• Multilevel Monte Carlo 100%
• Low Regularity 50%
• Numerical Solution of Stochastic Differential Equations 50%
• Euler-Maruyama 50%
• Cost Rate 25%
• Approximation Problem 25%
• Weak Approximation of Stochastic Differential Equations 25%
• Adaptive Time Stepping 25%
• Sample Generation 25%