DOI10.1214/13-AAP957zbMath1373.65007arXiv1202.6283MaRDI QIDQ2511559
Michael B. Giles, Lukasz Szpruch
Publication date: 6 August 2014
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1202.6283
Multi-index Monte Carlo: when sparsity meets sampling,
A multi-level dimension reduction Monte-Carlo method for jump-diffusion models,
Multilevel MC method for weak approximation of stochastic differential equation with the exact coupling scheme,
A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model,
Weighted multilevel Langevin simulation of invariant measures,
Non-asymptotic error bounds for the multilevel Monte Carlo Euler method applied to SDEs with constant diffusion coefficient,
Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators,
Coupling importance sampling and multilevel Monte Carlo using sample average approximation,
Central limit theorem for the antithetic multilevel Monte Carlo method,
Unbiased MLMC-based Variational Bayes for Likelihood-Free Inference,
Multilevel Monte Carlo for Smoothing via Transport Methods,
Recursive computation of the invariant distributions of Feller processes: revisited examples and new applications,
Goal-oriented adaptive finite element multilevel Monte Carlo with convergence rates,
Brownian bridge expansions for Lévy area approximations and particular values of the Riemann zeta function,
Construction of a Mean Square Error Adaptive Euler–Maruyama Method With Applications in Multilevel Monte Carlo,
Adaptive importance sampling for multilevel Monte Carlo Euler method,
Multilevel Monte Carlo simulation for the Heston stochastic volatility model,
Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps,
Multi-index antithetic stochastic gradient algorithm,
Monte Carlo convergence rates for \(k\)th moments in Banach spaces,
Unbiased optimal stopping via the MUSE,
Ninomiya-Victoir scheme : Multilevel Monte Carlo estimators and discretization of the involved Ordinary Differential Equations,
Multilevel and multi-index Monte Carlo methods for the McKean-Vlasov equation,
Unbiased simulation of stochastic differential equations,
MLMC for Nested Expectations,
On the implementation of multilevel Monte Carlo simulation of the stochastic volatility and interest rate model using multi-GPU clusters,
Weak antithetic MLMC estimation of SDEs with the milstein scheme for low-dimensional Wiener processes,
Cubature methods for stochastic (partial) differential equations in weighted spaces,
Multilevel Monte Carlo estimation of expected information gains,
Consistency and stability of a Milstein-Galerkin finite element scheme for semilinear SPDE,
Discrete-time simulation of stochastic Volterra equations,
Multilevel ensemble Kalman filtering for spatio-temporal processes,
General multilevel Monte Carlo methods for pricing discretely monitored Asian options,
Decision-theoretic sensitivity analysis for reservoir development under uncertainty using multilevel quasi-Monte Carlo methods,
Unbiased Estimation with Square Root Convergence for SDE Models,
Multilevel Monte Carlo simulation of Coulomb collisions,
An introduction to multilevel Monte Carlo for option valuation,
Multilevel Monte Carlo Covariance Estimation for the Computation of Sobol' Indices,
From Rough Path Estimates to Multilevel Monte Carlo,
Multilevel ensemble Kalman filtering,
Unbiased Estimators and Multilevel Monte Carlo,
Multi-level Monte Carlo methods for the approximation of invariant measures of stochastic differential equations,
Multilevel Nested Simulation for Efficient Risk Estimation,
Multilevel path simulation to jump-diffusion process with superlinear drift,
Unbiased Inference for Discretely Observed Hidden Markov Model Diffusions,
Decision-making under uncertainty: using MLMC for efficient estimation of EVPPI,
Exact simulation for multivariate Itô diffusions,
Approximation of SDE solutions using local asymptotic expansions,
Constructing unbiased gradient estimators with finite variance for conditional stochastic optimization,
Analysis of Nested Multilevel Monte Carlo Using Approximate Normal Random Variables,
Improved efficiency of multilevel Monte Carlo for stochastic PDE through strong pairwise coupling,
A continuation multilevel Monte Carlo algorithm,
Unbiased MLMC Stochastic Gradient-Based Optimization of Bayesian Experimental Designs,
An Antithetic Approach of Multilevel Richardson-Romberg Extrapolation Estimator for Multidimensional SDES