1 citations · 2 across the 2 of their papers we have counts for
3 papers
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…
math.PR2011
Multi-level Monte Carlo for continuous time Markov chains, with applications in biochemical kinetics
David F. Anderson, Desmond J. Higham
We show how to extend a recently proposed multi-level Monte Carlo approach to the continuous time Markov chain setting, thereby greatly lowering the computational complexity needed…