Multi-level Monte Carlo for stochastically modeled chemical kinetic systems , part 2

Multi-level Monte Carlo for stochastically modeled chemical kinetic systems , part 2

Thu, 17/11/2011
16:15 		Mike Giles Stochastic Numerics Seminar Add to calendar Oxford-Man Institute
Multi-level Monte Carlo for stochastically modeled chemical kinetic systems , part 2
In these two talks we will look at a recent paper by David Anderson and Des Higham: http://arxiv.org/pdf/1107.2181 This paper takes the Multilevel Monte Carlo method which I developed in 2006 for Brownian SDEs, and comes up with an elegant way of applying it to stochastic biochemical reaction networks.