MLMC for Nested Expectations

DOI10.1007/978-3-319-72456-0_20zbMath1405.65009MaRDI QIDQ4611811

Michael B. Giles

Publication date: 22 January 2019

Published in: Contemporary Computational Mathematics - A Celebration of the 80th Birthday of Ian Sloan (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-72456-0_20

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)