Multilevel sequential Monte Carlo samplers
From MaRDI portal
Publication:529423
DOI10.1016/j.spa.2016.08.004zbMath1362.65010arXiv1503.07259MaRDI QIDQ529423
Raúl Tempone, Kody J. H. Law, Ajay Jasra, Alexandros Beskos, Yan Zhou
Publication date: 18 May 2017
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1503.07259
65C05: Monte Carlo methods
65C30: Numerical solutions to stochastic differential and integral equations
65Y20: Complexity and performance of numerical algorithms
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