Multilevel Monte Carlo approximation of distribution functions and densities
DOI10.1137/140960086zbMATH Open1322.65014OpenAlexW2000309010MaRDI QIDQ2945150FDOQ2945150
Authors: Mike Giles, Tigran Nagapetyan, Klaus Ritter 
Publication date: 9 September 2015
Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/140960086
Recommendations
smoothingstochastic differential equationsmultilevel Monte Carloapproximation of distribution functions and densitiespath-(in)dependent functionalsstopped exit times
Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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Cited In (30)
- Multilevel Monte Carlo Analysis for Optimal Control of Elliptic PDEs with Random Coefficients
- A numerical approach to Kolmogorov equation in high dimension based on Gaussian analysis
- Multifidelity multilevel Monte Carlo to accelerate approximate Bayesian parameter inference for partially observed stochastic processes
- Reversible algorithm of simulating multivariate densities with multi-hump
- Multilevel Monte Carlo approximation of functions
- Analysis of nested multilevel Monte Carlo using approximate normal random variables
- Complexity of Multilevel Monte Carlo Tau-Leaping
- A multilevel sparse kernel-based stochastic collocation finite element method for elliptic problems with random coefficients
- Multilevel Monte Carlo simulation of Coulomb collisions
- Analysis of Preintegration Followed by Quasi–Monte Carlo Integration for Distribution Functions and Densities
- Multilevel path branching for digital options
- Multilevel rejection sampling for approximate Bayesian computation
- A continuation multilevel Monte Carlo algorithm
- Multilevel estimation of rare events
- Approximation of probability density functions by the multilevel Monte Carlo maximum entropy method
- Budget-limited distribution learning in multifidelity problems
- Multilevel Monte Carlo with numerical smoothing for robust and efficient computation of probabilities and densities
- Multifidelity approaches for uncertainty quantification
- Adaptive multilevel Monte Carlo for probabilities
- An approximate control variates approach to multifidelity distribution estimation
- Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations
- Multilevel Monte Carlo in approximate Bayesian computation
- Multilevel Monte Carlo and improved timestepping methods in atmospheric dispersion modelling
- 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
- Iterative multilevel particle approximation for McKean-Vlasov SDEs
- Malliavin-based multilevel Monte Carlo estimators for densities of max-stable processes
- Multifidelity framework for uncertainty quantification with multiple quantities of interest
- Multilevel Monte Carlo Covariance Estimation for the Computation of Sobol' Indices
- Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing
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