SDE_WA_MLMC

Overview

This library is an implementation of a Multi-Level Monte-Carlo(MLMC) Algorithm proposed by Mike Giles in a paper(pdf file).

For practical use, this library includes two other libraries:

• sde_wa.tar.gz developed by Mariko Ninomiya and Syoiti Ninomiya.
  • sde_wa is a library for Weak Approximations of Stochastic Differential Equations.
  • LGPL v2.1
• mt19937ar.tgz developed by Takuji Nishimura and Makoto Matsumoto.
  • mt19937ar is a Mersenne Twister pseudorandom number generator with period 2^19937-1 with improved initialization scheme.
  • Modified BSD Licence

Description

The MLMC algorithm is heuristic implementation of the MLMC method, which is a technique to reduce computational complexity of weak approximations of Stochastic Differential Equations(SDEs). For more detailed description of MLMC method, please refer to a site.

Usage

To use the library, please see a repository, samples of MLMC estimation by Kusuoka Schemes and Euler Maruyama Scheme.

Install

To install the library, please follow three steps:

1. Git clone this repository.

   git clone https://github.com/i05nagai/SDEWeakApproximation.git

2. Create Makefiles.

   make Makefiles

3. Make the library.

   make

Licence

This software is released under the LGPL v2.1, see LICENSE.

Author

i05nagai