Multi-level Monte Carlo methods for the approximation of invariant measures of stochastic differential equations

Abstract

We develop a framework that allows the use of the multi-level Monte Carlo (MLMC) methodology (Giles in Acta Numer. 24: 259–328, 2015. https://doi. org/10.1017/ S096249291500001X) to calculate expectations with respect to the invariant measure of an …