MLMC for nested expectations

DOI10.1007/978-3-319-72456-0_20MaRDI QIDQ4611811zbMATH OpenOpenAlexFDO

Authors Mike Giles

Publication date 22 January 2019

Published in Contemporary Computational Mathematics - A Celebration of the 80th Birthday of Ian Sloan (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-72456-0_20

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A new variance reduction technique for estimating value-at-risk
• Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
• Approximation of probability density functions by the multilevel Monte Carlo maximum entropy method
• Decision-making under uncertainty: using MLMC for efficient estimation of EVPPI
• Efficient risk estimation via nested sequential simulation
• Monte Carlo methods and models in finance and insurance.
• Multi-index Monte Carlo: when sparsity meets sampling
• Multilevel Monte Carlo simulation of Coulomb collisions
• Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives
• Nested simulation in portfolio risk measurement
• Non-nested adaptive timesteps in multilevel Monte Carlo computations
• Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
• Sparse grids
• Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance
• Unbiased estimation with square root convergence for SDE models
• Variance Reduction Techniques for Estimating Value-at-Risk

Cited in

(7)

• An efficient estimation of nested expectations without conditional sampling
• Weak error for nested multilevel Monte Carlo
• Unbiased MLMC-based variational Bayes for likelihood-free inference
• Multilevel Monte Carlo estimation of the expected value of sample information
• Unbiased optimal stopping via the MUSE
• MLMC techniques for discontinuous functions
• Leveraging nested MLMC for sequential neural posterior estimation with intractable likelihoods

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