MLMCLangevin code

<p>Set of C++ classes for integrating the Langevin equation using Monte Carlo integrators with different time stepping methods. Both Standard Monte Carlo and more advanced Multilevel Monte Carlo methods are supported. The code can be used to solve several SDEs:</p> <ul> <li>Simple test cases, such as propagation in a quadratic and quartic oscillator potential</li> <li>Propagation of particles in a turbulent velocity field in the atmospheric boundary layer</li> </ul> <p>For more details see https://bitbucket.org/em459/mlmclangevin</p> <p>The code provided here can be used to reproduce the results in the paper "Multilevel Monte Carlo and Improved Time Stepping Methods in Atmospheric Modelling" by Grigoris Katsiolides, Eike Mueller, Robert Scheichl, Tony Shardlow and David Thomson. (tag 'JCPpaper',  SHA a15897e in bitbucket repository)</p