Analysis of Nested Multilevel Monte Carlo Using Approximate Normal Random Variables
DOI10.1137/21M1399385zbMath1482.65006arXiv2102.08164MaRDI QIDQ5862903
Michael B. Giles, Oliver Sheridan-Methven
Publication date: 10 March 2022
Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2102.08164
random variablesapproximationshigh performance computingstochastic simulationmultilevel Monte CarloSDEs
Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Complexity and performance of numerical algorithms (65Y20)
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