Hakon Hoel, Juho Happola, and Raul Tempone, Construction of a mean square error adaptive Euler–Maruyama method with applications in multilevel Monte Carlo. 2014

Hakon Hoel, Juho Happola, and Raul Tempone

Adaptive time stepping, stochastic differential equations, multilevel Monte Carlo.

2014

^{-2} log(TOL)4 ).