2 papers
math.NA2024
Higher-order spring-coupled multilevel Monte Carlo method for invariant measures
Sankarasubramanian Ragunathan, Håkon Andreas Hoel
A higher-order change-of-measure multilevel Monte Carlo (MLMC) method is developed for computing weak approximations of the invariant measures of SDE with drift coefficients that d…
math.NA2022
Higher-order adaptive methods for exit times of Itô diffusions
Håkon Hoel, Sankarasubramanian Ragunathan
We construct a higher-order adaptive method for strong approximations of exit times of Itô stochastic differential equations (SDE). The method employs a strong Itô--Taylor scheme f…