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