Adaptive Euler-Maruyama Method for SDEs with Non-globally Lipschitz Drift
Attributed to:
Multilevel Monte Carlo Methods for Elliptic Problems with Applications to Radioactive Waste Disposal
funded by
EPSRC
Abstract
No abstract provided
Bibliographic Information
Digital Object Identifier: http://dx.doi.org/10.1007/978-3-319-91436-7_11
Publication URI: http://dx.doi.org/10.1007/978-3-319-91436-7_11
Type: Book Chapter
Book Title: Monte Carlo and Quasi-Monte Carlo Methods (2018)
Page Reference: 217-234