1 citations · 3 across the 3 of their papers we have counts for
3 papers
math.NA2015★ 1 cited
Computational complexity analysis for Monte Carlo approximations of classically scaled population processes
David F. Anderson, Desmond J. Higham, Yu Sun
We analyze and compare the computational complexity of different simulation strategies for Monte Carlo in the setting of classically scaled population processes. This allows a rang…
math.NA2014★ 1 cited
Multilevel Monte Carlo for stochastic differential equations with small noise
David F. Anderson, Desmond J. Higham, Yu Sun
We consider the problem of numerically estimating expectations of solutions to stochastic differential equations driven by Brownian motions in the commonly occurring small noise re…
math.NA2013★ 1 cited
Complexity of Multilevel Monte Carlo Tau-Leaping
David F. Anderson, Desmond J. Higham, Yu Sun
Tau-leaping is a popular discretization method for generating approximate paths of continuous time, discrete space, Markov chains, notably for biochemical reaction systems. To comp…