Multilevel Monte Carlo Path Simulation

DOI10.1287/opre.1070.0496zbMath1167.65316OpenAlexW2163715525MaRDI QIDQ3392195

Michael B. Giles

Publication date: 13 August 2009

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.1070.0496

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Analysis of algorithms and problem complexity (68Q25) Monte Carlo methods (65C05)

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Reduced Basis Methods for Uncertainty Quantification, Uncertainty Quantification for Porous Media Flow Using Multilevel Monte Carlo, Unbiased multi-index Monte Carlo, Multilevel Monte Carlo method with applications to stochastic partial differential equations, Mean-square stability and error analysis of implicit time-stepping schemes for linear parabolic SPDEs with multiplicative Wiener noise in the first derivative, Unnamed Item, Adaptive weak approximation of reflected and stopped diffusions, The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients, The Multilevel Monte Carlo method used on a Lévy driven SDE, Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance, Stochastic finite element methods for partial differential equations with random input data, XVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS, Numerical Approximation of Statistical Solutions of Scalar Conservation Laws, Computational Complexity Analysis for Monte Carlo Approximations of Classically Scaled Population Processes, Multilevel Control Variates for Uncertainty Quantification in Simulations of Cloud Cavitation, Multilevel Monte Carlo Covariance Estimation for the Computation of Sobol' Indices, Multifidelity Approximate Bayesian Computation, Bias behaviour and antithetic sampling in mean-field particle approximations of SDEs nonlinear in the sense of McKean, Unbiased Estimators and Multilevel Monte Carlo, Data-driven forward discretizations for Bayesian inversion, Sub-representative elementary volume homogenization of flow in porous media with isolated embedded fractures, STRONG CONVERGENCE FOR EULER–MARUYAMA AND MILSTEIN SCHEMES WITH ASYMPTOTIC METHOD, Hierarchical algorithms on hierarchical architectures, Uncertainty Quantification for the BGK Model of the Boltzmann Equation Using Multilevel Variance Reduced Monte Carlo Methods, Unbiased Inference for Discretely Observed Hidden Markov Model Diffusions, A Multifidelity Ensemble Kalman Filter with Reduced Order Control Variates, Multilevel Hierarchical Decomposition of Finite Element White Noise with Application to Multilevel Markov Chain Monte Carlo, ɛ-Strong Simulation of Fractional Brownian Motion and Related Stochastic Differential Equations, Enhancing Accuracy of Deep Learning Algorithms by Training with Low-Discrepancy Sequences, Central limit theorems for coupled particle filters, Exact simulation for multivariate Itô diffusions, Asymptotic Analysis of Multilevel Best Linear Unbiased Estimators, Multilevel Quasi Monte Carlo Methods for Elliptic PDEs with Random Field Coefficients via Fast White Noise Sampling, A multi-level procedure for enhancing accuracy of machine learning algorithms, Physics Information Aided Kriging using Stochastic Simulation Models, Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning, A Bandit-Learning Approach to Multifidelity Approximation, Unbiased MLMC Stochastic Gradient-Based Optimization of Bayesian Experimental Designs, Multi-level Monte Carlo methods with the truncated Euler–Maruyama scheme for stochastic differential equations