Implementation and analysis of an adaptive multilevel Monte Carlo algorithm
a posteriori error estimatesadaptivityadjointsalgorithmbackward dual functionscomputational financeerror controlEuler-Maruyama methodItô stochastic differential equationsMonte Carlomultilevelnumerical examplesweak approximation
Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Complexity and performance of numerical algorithms (65Y20) Numerical methods (including Monte Carlo methods) (91G60)
- Adaptive multilevel Monte Carlo simulation
- Construction of a mean square error adaptive Euler-Maruyama method with applications in multilevel Monte Carlo
- Adaptive importance sampling for multilevel Monte Carlo Euler method
- Adaptive multilevel Monte Carlo methods for stochastic variational inequalities
- A continuation multilevel Monte Carlo algorithm
- A note on strong approximation of SDEs with smooth coefficients that have at most linearly growing derivatives
- Multilevel Monte Carlo and improved timestepping methods in atmospheric dispersion modelling
- Determining optimal multilevel Monte Carlo parameters with application to fault tolerance
- An adaptive multilevel Monte Carlo algorithm for the stochastic drift-diffusion-Poisson system
- An adaptive strong order 1 method for SDEs with discontinuous drift coefficient
- Central limit theorem for the antithetic multilevel Monte Carlo method
- Goal-oriented adaptive modeling of random heterogeneous media and model-based multilevel Monte Carlo methods
- Central limit theorems for multilevel Monte Carlo methods
- Numerical methods for conservation laws with rough flux
- On non-polynomial lower error bounds for adaptive strong approximation of SDEs
- Multi-index Monte Carlo: when sparsity meets sampling
- Goal-oriented adaptive finite element multilevel Monte Carlo with convergence rates
- Multilevel ensemble Kalman filtering
- Mixed precision multilevel Monte Carlo algorithms for reconfigurable computing systems
- Adaptive multilevel Monte Carlo simulation
- On the acceleration of the multi-level Monte Carlo method
- Construction of a mean square error adaptive Euler-Maruyama method with applications in multilevel Monte Carlo
- Non-nested adaptive timesteps in multilevel Monte Carlo computations
- On sub-polynomial lower error bounds for quadrature of SDEs with bounded smooth coefficients
- An adaptive multilevel Monte Carlo method with stochastic bounds for quantities of interest with uncertain data
- Adaptive multilevel Monte Carlo methods for stochastic variational inequalities
- Continuous Level Monte Carlo and Sample-Adaptive Model Hierarchies
- Optimization of mesh hierarchies in multilevel Monte Carlo samplers
- Adaptive multilevel Monte Carlo for probabilities
- Adaptive multiscale predictive modelling
- Multifidelity Monte Carlo Estimation with Adaptive Low-Fidelity Models
- Improved stabilized multilevel Monte Carlo method for stiff stochastic differential equations
- Improving multilevel Monte Carlo for stochastic differential equations with application to the Langevin equation
- Mean exit times and the multilevel Monte Carlo method
- Uncertainty Quantification by Multilevel Monte Carlo and Local Time-Stepping for Wave Propagation
- Weak variable step-size schemes for stochastic differential equations based on controlling conditional moments
- Adaptive importance sampling for multilevel Monte Carlo Euler method
- Context-Aware Surrogate Modeling for Balancing Approximation and Sampling Costs in Multifidelity Importance Sampling and Bayesian Inverse Problems
- Efficient estimation of expected information gain in Bayesian experimental design with multi-index Monte Carlo
- Complexity analysis of quasi continuous level Monte Carlo
- Higher-order adaptive methods for exit times of Itô diffusions
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