MLMC techniques for discontinuous functions

DOI10.1007/978-3-031-59762-6_2MaRDI QIDQ7012127zbMATH OpenFDO

Authors Mike Giles

Publication date 17 March 2025

Full work available at URL https://doi.org/10.1007/978-3-031-59762-6_2

zbMATH Keywords

discontinuous payoffsmultilevel Monte Carlonested expectation

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Cites work

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Cited in

(1)

• Multilevel Monte Carlo method based on multigrid discretizations for stochastic eigenvalue problem

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