MLMC techniques for discontinuous functions

The Multilevel Monte Carlo (MLMC) approach usually works well when estimating the expected value of a quantity which is a Lipschitz function of intermediate quantities, but if it is a discontinuous function it can lead to a much slower decay in the variance of the MLMC correction. This article revie...

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書目詳細資料
主要作者: Giles, MB
格式: Conference item
語言:English
出版: Springer 2024