An adaptive multilevel Monte Carlo algorithm for the stochastic drift–diffusion–Poisson system
Amirreza Khodadadian, Maryam Parvizi, Clemens Heitzinger
Topics & Concepts
Monte Carlo methodA priori and a posterioriAlgorithmComputer scienceMathematical optimizationQuasi-Monte Carlo methodHybrid Monte CarloRate of convergenceConvergence (economics)MathematicsStochastic differential equationApplied mathematicsMarkov chain Monte CarloStatisticsComputer networkEconomic growthEconomicsPhilosophyChannel (broadcasting)EpistemologyAdvanced Numerical Methods in Computational MathematicsProbabilistic and Robust Engineering DesignStochastic processes and financial applications