Pages that link to "Item:Q3392195"
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The following pages link to Multilevel Monte Carlo Path Simulation (Q3392195):
Displaying 50 items.
- An efficient algorithm for accelerating Monte Carlo approximations of the solution to boundary value problems (Q257095) (← links)
- Multilevel Monte Carlo for Lévy-driven SDEs: central limit theorems for adaptive Euler schemes (Q259571) (← links)
- Multi-index Monte Carlo: when sparsity meets sampling (Q264116) (← links)
- Importance sampling and statistical Romberg method for Lévy processes (Q271865) (← links)
- Multilevel hybrid Chernoff tau-leap (Q285281) (← links)
- Multilevel Monte Carlo front-tracking for random scalar conservation laws (Q285286) (← links)
- Multi-level stochastic approximation algorithms (Q292915) (← links)
- Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators (Q308405) (← links)
- The linear Steklov method for SDEs with non-globally Lipschitz coefficients: strong convergence and simulation (Q313640) (← links)
- Option pricing in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Simulation (Q340795) (← links)
- Extending the multi-level method for the simulation of stochastic biological systems (Q347028) (← links)
- Stabilized multilevel Monte Carlo method for stiff stochastic differential equations (Q347978) (← links)
- Solver-based vs. grid-based multilevel Monte Carlo for two phase flow and transport in random heterogeneous porous media (Q349038) (← links)
- Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations (Q373839) (← links)
- Multilevel dual approach for pricing American style derivatives (Q377450) (← links)
- Multi-output local Gaussian process regression: applications to uncertainty quantification (Q385889) (← links)
- Variational integrators for electric circuits (Q401564) (← links)
- A dynamically bi-orthogonal method for time-dependent stochastic partial differential equations. II: Adaptivity and generalizations (Q401601) (← links)
- A dynamically bi-orthogonal method for time-dependent stochastic partial differential equations. I: Derivation and algorithms (Q401608) (← links)
- Derandomization of the Euler scheme for scalar stochastic differential equations (Q413464) (← links)
- Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients (Q416123) (← links)
- Multi-level Monte Carlo finite volume methods for nonlinear systems of conservation laws in multi-dimensions (Q417868) (← links)
- A patch that imparts unconditional stability to explicit integrators for Langevin-like equations (Q419615) (← links)
- Option pricing with a direct adaptive sparse grid approach (Q432809) (← links)
- Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients (Q453249) (← links)
- Cubature methods for stochastic (partial) differential equations in weighted spaces (Q483627) (← links)
- Infinite-dimensional integration in weighted Hilbert spaces: anchored decompositions, optimal deterministic algorithms, and higher-order convergence (Q486680) (← links)
- Consistency and stability of a Milstein-Galerkin finite element scheme for semilinear SPDE (Q487684) (← links)
- Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives (Q496948) (← links)
- Stochastic regularity of a quadratic observable of high-frequency waves (Q504049) (← links)
- Multi-index stochastic collocation convergence rates for random PDEs with parametric regularity (Q506615) (← links)
- Application of quasi-Monte Carlo methods to elliptic PDEs with random diffusion coefficients: a survey of analysis and implementation (Q506617) (← links)
- Estimation of arbitrary order central statistical moments by the multilevel Monte Carlo method (Q507012) (← links)
- Mixed finite element analysis of lognormal diffusion and multilevel Monte Carlo methods (Q507013) (← links)
- Optimization of mesh hierarchies in multilevel Monte Carlo samplers (Q507015) (← links)
- Multilevel approximate Bayesian approaches for flows in highly heterogeneous porous media and their applications (Q508047) (← links)
- Multilevel hybrid split-step implicit tau-leap (Q509646) (← links)
- Limit theorems for weighted and regular multilevel estimators (Q515540) (← links)
- Deterministic quadrature formulas for SDEs based on simplified weak Itô-Taylor steps (Q515988) (← links)
- Point process-based Monte Carlo estimation (Q517403) (← links)
- Multilevel sequential Monte Carlo samplers (Q529423) (← links)
- Deterministic multi-level algorithms for infinite-dimensional integration on \(\mathbb R^{\mathbb N}\) (Q544124) (← links)
- A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations (Q550167) (← links)
- Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction (Q627246) (← links)
- Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model (Q634110) (← links)
- Multi-level Monte Carlo finite element method for elliptic PDEs with stochastic coefficients (Q639370) (← links)
- Runge-Kutta methods for jump-diffusion differential equations (Q654140) (← links)
- Multilevel Monte Carlo for stochastic differential equations with additive fractional noise (Q666368) (← links)
- Multilevel sequential Monte Carlo for Bayesian inverse problems (Q725440) (← links)
- Practical error bounds for a non-intrusive bi-fidelity approach to parametric/stochastic model reduction (Q725460) (← links)
