Multilevel Monte Carlo methods

DOI10.1007/978-3-642-41095-6_4MaRDI QIDQ6828996zbMATH OpenFDO

Authors Mike Giles

Publication date 31 October 2014

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-41095-6_4

zbMATH Keywords

multilevel Monte Carlo methods

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Cited in

(2)

• Multilevel Monte Carlo simulation of Bayesian Lasso
• Smoothed circulant embedding with applications to multilevel Monte Carlo methods for PDEs with random coefficients

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