Multilevel Monte Carlo approximation of distribution functions and densities
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approximation of distribution functions and densitiesmultilevel Monte Carlopath-(in)dependent functionalssmoothingstochastic differential equationsstopped exit times
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)
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Cites work
- A practical guide to splines
- An optimal control variance reduction method for density estimation
- Analysis of multilevel Monte Carlo path simulation using the Milstein discretisation
- Analyzing multi-level Monte Carlo for options with non-globally Lipschitz payoff
- Approximation of quantiles of components of diffusion processes.
- Asymptotic error distributions for the Euler method for stochastic differential equations
- Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme
- First time to exit of a continuous Itô process: general moment estimates and \({\mathbf{L}}_{1}\)-convergence rate for discrete time approximations
- Improved multilevel Monte Carlo convergence using the Milstein scheme
- Introduction to nonparametric estimation
- Mean exit times and the multilevel Monte Carlo method
- Monte Carlo complexity of global solution of integral equations
- Multilevel Monte Carlo Path Simulation
- Multilevel Monte Carlo quadrature of discontinuous payoffs in the generalized Heston model using Malliavin integration by parts
- On irregular functionals of SDEs and the Euler scheme
- Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme
- Sharp estimates for the convergence of the density of the Euler scheme in small time
- Statistical Romberg extrapolation: a new variance reduction method and applications to option pricing
- Stochastic calculus for finance. II: Continuous-time models.
- The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
- The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
- The optimal uniform approximation of systems of stochastic differential equations
- The tight constant in the Dvoretzky-Kiefer-Wolfowitz inequality
- Transition density estimation for stochastic differential equations via forward-reverse represen\-ta\-tions
Cited in
(35)- Reversible algorithm of simulating multivariate densities with multi-hump
- Multilevel rejection sampling for approximate Bayesian computation
- Multilevel Monte Carlo and improved timestepping methods in atmospheric dispersion modelling
- Malliavin-based multilevel Monte Carlo estimators for densities of max-stable processes
- Quantify uncertainty by estimating the probability density function of the output of interest using MLMC based Bayes method
- Estimation of distributions via multilevel Monte Carlo with stratified sampling
- Multifidelity framework for uncertainty quantification with multiple quantities of interest
- A multilevel sparse kernel-based stochastic collocation finite element method for elliptic problems with random coefficients
- A numerical approach to Kolmogorov equation in high dimension based on Gaussian analysis
- Iterative multilevel particle approximation for McKean-Vlasov SDEs
- A continuation multilevel Monte Carlo algorithm
- Approximation of probability density functions by the multilevel Monte Carlo maximum entropy method
- Multifidelity multilevel Monte Carlo to accelerate approximate Bayesian parameter inference for partially observed stochastic processes
- Budget-limited distribution learning in multifidelity problems
- Multilevel estimation of rare events
- Multilevel Monte Carlo approximation of functions
- Multilevel Monte Carlo Covariance Estimation for the Computation of Sobol' Indices
- Adaptive multilevel Monte Carlo for probabilities
- Complexity of Multilevel Monte Carlo Tau-Leaping
- Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations
- Multilevel Monte Carlo Analysis for Optimal Control of Elliptic PDEs with Random Coefficients
- Multilevel Monte Carlo in approximate Bayesian computation
- Analysis of nested multilevel Monte Carlo using approximate normal random variables
- Analysis of Preintegration Followed by Quasi–Monte Carlo Integration for Distribution Functions and Densities
- Multifidelity approaches for uncertainty quantification
- Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing
- Multilevel Monte Carlo with numerical smoothing for robust and efficient computation of probabilities and densities
- Multilevel path branching for digital options
- An approximate control variates approach to multifidelity distribution estimation
- Multilevel Monte Carlo metamodeling for variance function estimation
- Adaptive uncertainty quantification for stochastic hyperbolic conservation laws
- Fourier neural network approximation of transition densities in finance
- MLMC techniques for discontinuous functions
- Multilevel Monte Carlo simulation of Coulomb collisions
- Multi-index importance sampling for McKean-Vlasov stochastic differential equations
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