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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| Định dạng: | Conference item |
| Ngôn ngữ: | English |
| Được phát hành: |
Springer
2024
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