113 citations · 1k across the 84 of their papers we have counts for
5 papers · 2 filters
Construction of a Mean Square Error Adaptive Euler--Maruyama Method with Applications in Multilevel Monte Carlo
Håkon Hoel, Juho Häppölä, Raúl Tempone
A formal mean square error expansion (MSE) is derived for Euler--Maruyama numerical solutions of stochastic differential equations (SDE). The error expansion is used to construct a…
A multilevel adaptive reaction-splitting simulation method for stochastic reaction networks
Alvaro Moraes, Raul Tempone, Pedro Vilanova
Stochastic modeling of reaction networks is a framework used to describe the time evolution of many natural and artificial systems, including, biochemical reactive systems at the m…
Multi-Index Monte Carlo: When Sparsity Meets Sampling
Abdul-Lateef Haji-Ali, Fabio Nobile, Raul Tempone
We propose and analyze a novel Multi-Index Monte Carlo (MIMC) method for weak approximation of stochastic models that are described in terms of differential equations either driven…
Optimization of mesh hierarchies in Multilevel Monte Carlo samplers
Abdul Lateef Haji Ali, Fabio Nobile, Erik von Schwerin +1
We perform a general optimization of the parameters in the Multilevel Monte Carlo (MLMC) discretization hierarchy based on uniform discretization methods with general approximation…
A Continuation Multilevel Monte Carlo algorithm
Nathan Collier, Abdul-Lateef Haji-Ali, Fabio Nobile +2
We propose a novel Continuation Multi Level Monte Carlo (CMLMC) algorithm for weak approximation of stochastic models. The CMLMC algorithm solves the given approximation problem fo…