Multilevel Monte Carlo Approximation of Distribution Functions and Densities

DOI10.1137/140960086zbMath1322.65014OpenAlexW2000309010MaRDI QIDQ2945150

Klaus Ritter, Michael B. Giles, Tigran Nagapetyan

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

zbMATH Keywords

smoothingstochastic differential equationsmultilevel Monte Carloapproximation of distribution functions and densitiespath-(in)dependent functionalsstopped exit times

Mathematics Subject Classification ID

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)

Related Items (21)

Estimation of distributions via multilevel Monte Carlo with stratified sampling ⋮ Analysis of Preintegration Followed by Quasi–Monte Carlo Integration for Distribution Functions and Densities ⋮ Approximation of probability density functions by the multilevel Monte Carlo maximum entropy method ⋮ Multilevel Estimation of Rare Events ⋮ Multilevel rejection sampling for approximate Bayesian computation ⋮ Adaptive Multilevel Monte Carlo for Probabilities ⋮ Multifidelity framework for uncertainty quantification with multiple quantities of interest ⋮ Multifidelity multilevel Monte Carlo to accelerate approximate Bayesian parameter inference for partially observed stochastic processes ⋮ Budget-limited distribution learning in multifidelity problems ⋮ Multifidelity approaches for uncertainty quantification ⋮ Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing ⋮ Multilevel Monte Carlo and improved timestepping methods in atmospheric dispersion modelling ⋮ A multilevel sparse kernel-based stochastic collocation finite element method for elliptic problems with random coefficients ⋮ A numerical approach to Kolmogorov equation in high dimension based on Gaussian analysis ⋮ Multilevel Monte Carlo Approximation of Functions ⋮ Multilevel Monte Carlo simulation of Coulomb collisions ⋮ Quantify uncertainty by estimating the probability density function of the output of interest using MLMC based Bayes method ⋮ Iterative multilevel particle approximation for McKean-Vlasov SDEs ⋮ Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations ⋮ Analysis of Nested Multilevel Monte Carlo Using Approximate Normal Random Variables ⋮ Multilevel Monte Carlo Analysis for Optimal Control of Elliptic PDEs with Random Coefficients

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