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Multilevel Monte Carlo for stochastic differential equations with small noise

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Figure

Figure 1: Log-log plots of Var(Dεhℓ(1) − Dεhℓ−1(1)) with ε held constant and hℓ−1 varied
Figure 2: Log-log plots of Varbest fit curves for all data are overlain in the dashed blue line
Figure 3: Log-log plots of runtime (in seconds) for both multilevel and standard Euler basedMonte Carlo.
Table 1: Result of Euler based multilevel Monte Carlo for fixed ε = 0.1 and varying δ.
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