Multilevel Monte Carlo approximation of functions
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characteristic functionconditional value-at-riskdistribution functionmomentsmultilevel Monte Carloparametric expectationquantiles
Characteristic functions; other transforms (60E10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Monte Carlo methods (65C05) Probabilistic models, generic numerical methods in probability and statistics (65C20) Algorithms for approximation of functions (65D15) Complexity and performance of numerical algorithms (65Y20) Statistical methods; risk measures (91G70)
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- scientific article; zbMATH DE number 2000348
Cites work
- A practical guide to splines.
- Approximation of probability density functions by the multilevel Monte Carlo maximum entropy method
- Approximation theory and approximation practice
- Asymptotic Statistics
- Convergence analysis of multilevel Monte Carlo variance estimators and application for random obstacle problems
- Estimation of arbitrary order central statistical moments by the multilevel Monte Carlo method
- Estimation of Non-Unique Quantiles
- Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients
- General multilevel adaptations for stochastic approximation algorithms of Robbins-Monro and Polyak-Ruppert type
- High dimensional polynomial interpolation on sparse grids
- scientific article; zbMATH DE number 49190 (Why is no real title available?)
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- scientific article; zbMATH DE number 2000348 (Why is no real title available?)
- Mappings of Gaussian Cylindrical Measures in Banach Spaces
- Markov and Bernstein type inequalities for polynomials
- Monte Carlo complexity of global solution of integral equations
- Multi-level stochastic approximation algorithms
- Multilevel estimation of rare events
- Multilevel Monte Carlo approximation of distribution functions and densities
- Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients
- Multilevel Monte Carlo Path Simulation
- Multilevel nested simulation for efficient risk estimation
- On irregular functionals of SDEs and the Euler scheme
- On the Laplace transform of the lognormal distribution
- Optimal error bounds for cubic spline interpolation
- Quantifying uncertain system outputs via the multilevel Monte Carlo method. I: Central moment estimation
- Stochastic simulation: Algorithms and analysis
- The lognormal characteristic function
- The Mathematical Theory of Finite Element Methods
- Uncertainty quantification for approximate p-quantiles for physical models with stochastic inputs
Cited in
(19)- Estimation of distributions via multilevel Monte Carlo with stratified sampling
- Quantifying uncertain system outputs via the multilevel Monte Carlo method. I: Central moment estimation
- A continuation multilevel Monte Carlo algorithm
- Approximation of probability density functions by the multilevel Monte Carlo maximum entropy method
- Monte Carlo algorithm for vector-valued Gaussian functions with preset component accuracies
- Quantifying uncertainties in contact mechanics of rough surfaces using the Multilevel Monte Carlo method
- Budget-limited distribution learning in multifidelity problems
- On multilevel best linear unbiased estimators
- Complexity of Multilevel Monte Carlo Tau-Leaping
- Multilevel Monte Carlo Metamodeling
- Gradient-based optimisation of the conditional-value-at-risk using the multi-level Monte Carlo method
- Multilevel Monte Carlo with numerical smoothing for robust and efficient computation of probabilities and densities
- An approximate control variates approach to multifidelity distribution estimation
- A hybrid two-level MCMC framework to accelerate posterior mean estimation with deep learning surrogates for Bayesian inverse problems
- Multilevel Monte Carlo metamodeling for variance function estimation
- Optimization problems governed by systems of PDEs with uncertainties
- Adaptive uncertainty quantification for stochastic hyperbolic conservation laws
- MLMC techniques for discontinuous functions
- Optimized multi-level Monte Carlo parametrization and antithetic sampling for nested simulations
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