MLMC for Nested Expectations

DOI10.1007/978-3-319-72456-0_20zbMath1405.65009OpenAlexW2803267406MaRDI 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

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (3)

Unbiased MLMC-based Variational Bayes for Likelihood-Free Inference ⋮ Unbiased optimal stopping via the MUSE ⋮ Multilevel Monte Carlo Estimation of the Expected Value of Sample Information

Cites Work

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• Stochastic Finite Differences and Multilevel Monte Carlo for a Class of SPDEs in Finance
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