Adaptive multilevel Monte Carlo simulation

DOI10.1007/978-3-642-21943-6_10MaRDI QIDQ2897265zbMATH OpenOpenAlexFDO

Authors Anders Szepessy, R. Tempone, Erik von Schwerin, Håkon Hoel

Publication date 10 July 2012

Published in Numerical Analysis of Multiscale Computations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-21943-6_10

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

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Cited in

(38)

• A Study of Elliptic Partial Differential Equations with Jump Diffusion Coefficients
• An adaptive strong order 1 method for SDEs with discontinuous drift coefficient
• Goal-oriented adaptive finite element multilevel Monte Carlo with convergence rates
• Implementation and analysis of an adaptive multilevel Monte Carlo algorithm
• Construction of a mean square error adaptive Euler-Maruyama method with applications in multilevel Monte Carlo
• Mean exit times and the multilevel Monte Carlo method
• Non-nested adaptive timesteps in multilevel Monte Carlo computations
• An adaptive random bit multilevel algorithm for SDEs
• On sub-polynomial lower error bounds for quadrature of SDEs with bounded smooth coefficients
• Multilevel Adaptive Cross Approximation (MLACA)
• Continuous Level Monte Carlo and Sample-Adaptive Model Hierarchies
• Unbiased estimators and multilevel Monte Carlo
• An adaptive multilevel Monte Carlo method with stochastic bounds for quantities of interest with uncertain data
• Goal-oriented adaptive modeling of random heterogeneous media and model-based multilevel Monte Carlo methods
• Adaptive multilevel Monte Carlo for probabilities
• An explicit positivity-preserving scheme for the Heston 3/2-model with order-one strong convergence
• Multifidelity Monte Carlo Estimation with Adaptive Low-Fidelity Models
• Gradient-based optimisation of the conditional-value-at-risk using the multi-level Monte Carlo method
• An adaptive multilevel Monte Carlo algorithm for the stochastic drift-diffusion-Poisson system
• A multilevel stochastic collocation method for partial differential equations with random input data
• A continuation multilevel Monte Carlo algorithm
• Multilevel Monte Carlo simulation of Coulomb collisions
• Recycling samples in the multigrid multilevel (quasi-)Monte Carlo method
• Context-Aware Surrogate Modeling for Balancing Approximation and Sampling Costs in Multifidelity Importance Sampling and Bayesian Inverse Problems
• Adaptive importance sampling for multilevel Monte Carlo Euler method
• Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients
• Optimization of mesh hierarchies in multilevel Monte Carlo samplers
• A dimension-adaptive multi-index Monte Carlo method applied to a model of a heat exchanger
• Multi-index Monte Carlo: when sparsity meets sampling
• Multilevel estimation of expected exit times and other functionals of stopped diffusions
• A note on strong approximation of SDEs with smooth coefficients that have at most linearly growing derivatives
• Combining space-time multigrid techniques with multilevel Monte Carlo methods for SDEs
• On non-polynomial lower error bounds for adaptive strong approximation of SDEs
• Multilevel Monte Carlo Metamodeling
• Adaptive multilevel Monte Carlo methods for stochastic variational inequalities
• Adaptive Monte Carlo Algorithms for Stopped Diffusion
• Multilevel Monte Carlo and improved timestepping methods in atmospheric dispersion modelling
• An adaptive Euler-Maruyama scheme for stochastic differential equations with discontinuous drift and its convergence analysis

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