Multi-level Monte Carlo path simulation

Multi-level Monte Carlo path simulation

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We show that multigrid ideas can be used to reduce the computational complexity of estimating an expected value arising from a stochastic differential equation using Monte Carlo path simulations. In the simplest case of a Lipschitz payoff and an Euler discretisation, the computational cost to achiev...

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Bibliografiske detaljer
Hovedforfatter:	Giles, M
Format:	Report
Udgivet:	Unspecified 2006

Lignende værker

Multilevel Monte Carlo path simulation
af: Giles, M
Udgivet: (2008)

Multilevel Monte Carlo path simulation.
af: Giles, M
Udgivet: (2007)

Analysis of multilevel Monte Carlo path simulation using the Milstein discretisation
af: Giles, M, et al.
Udgivet: (2019)

Multi-level Monte Carlo approximation of distribution functions and densities
af: Giles, M, et al.
Udgivet: (2015)

Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff
af: Giles, M, et al.
Udgivet: (2009)

Vibrato Monte Carlo sensitivities
af: Giles, M
Udgivet: (2009)

Multilevel Monte Carlo methods
af: Giles, M
Udgivet: (2015)

Vibrato Monte Carlo sensitivities.
af: Giles, M
Udgivet: (2007)

Multi-level Monte Carlo methods for the approximation of invariant measures of stochastic differential equations
af: Giles, M, et al.
Udgivet: (2019)

Path integral Monte Carlo simulations of the geometrical effects in KDP crystals
af: F. Torresi, et al.
Udgivet: (2022-12-01)

Monte Carlo Simulations
af: Soisson F.
Udgivet: (2011-05-01)

Torsional path integral Monte Carlo method for the quantum simulation of large molecules
af: Miller, T, et al.
Udgivet: (2002)

Monte Carlo evaluation of sensitivities in computational finance
af: Giles, M
Udgivet: (2007)

Monte Carlo evaluation of sensitivities in computational finance.
af: Giles, M
Udgivet: (2007)

Robustly simulating biochemical reaction kinetics using multi-level Monte Carlo approaches
af: Lester, C, et al.
Udgivet: (2018)

Monte Carlo simulation and finance /
af: 267966 McLeish, Don L.
Udgivet: (2005)

Simulation and the monte carlo method /
af: 296842 Rubinstein, Reuven Y., et al.
Udgivet: (2008)

Simulation and the Monte Carlo method /
af: 296842 Rubinstein, Reuven Y.
Udgivet: (1981)

Monte Carlo Simulation and Applications
af: Abd Al Kareem I Sheet, et al.
Udgivet: (2012-12-01)

Multilevel Monte Carlo for exponential Lévy models
af: Giles, M, et al.
Udgivet: (2017)

Comparison of robust estimators for leveling networks in Monte Carlo simulations
af: Pokarowska Maria
Udgivet: (2016-06-01)

Quasi-Monte Carlo for finance applications
af: Giles, M, et al.
Udgivet: (2008)

Quasi-Monte Carlo for finance applications.
af: Giles, M, et al.
Udgivet: (2008)

Monte Carlo simulations for plasma physics /
af: M. Okamoto, et al.
Udgivet: (2000)

MONTE-CARLO SIMULATION ON TRANSPUTER ARRAYS
af: Askew, C, et al.
Udgivet: (1988)

Recent Advances of Monte Carlo Simulation /
af: Couto, Paulo Roberto Guimaraes, contributor, et al.
Udgivet: (2017)

Scaling advantage over path-integral Monte Carlo in quantum simulation of geometrically frustrated magnets
af: Andrew D. King, et al.
Udgivet: (2021-02-01)

Neural Monte Carlo Fluid Simulation
af: Jain, Pranav, et al.
Udgivet: (2024)

Fundamentals and applications of Monte Carlo simulations /
af: Rago, Gregory, editor
Udgivet: (2015)

Monte Carlo simulation with applications to finance /
af: Wang, Hui
Udgivet: (2012)

Monte carlo simulations on potts model /
af: 494180 Noraini Hasan, et al.
Udgivet: (2008)

Monte Carlo simulation and related subjects
af: ASCOPE /CCOP Workshop on Monte Carlo Simulation and Related Subjects (1982 : Jakarta)
Udgivet: (1982)

Spintronics Simulation with Monte Carlo Method
af: İbrahim SAVRAN
Udgivet: (2011-08-01)

Monte-Carlo simulations of superradiant lasing
af: Yuan Zhang, et al.
Udgivet: (2018-01-01)

Teaching Monte Carlo Simulation with Python
af: Justin O. Holman, et al.
Udgivet: (2022-10-01)

Monte Carlo Simulation of an American Option
af: Gikiri Thuo
Udgivet: (2007-04-01)

monte carlo simulation in the kinetics and mileculare
af: Baghdad Science Journal
Udgivet: (2006-06-01)

Monte Carlo simulations in radiotherapy dosimetry
af: Pedro Andreo
Udgivet: (2018-06-01)

OPTIMISATION OF MONTE CARLO BURNUP SIMULATIONS
af: Dufek Jan, et al.
Udgivet: (2021-01-01)

Improved multilevel Monte Carlo convergence using the Milstein scheme
af: Giles, M
Udgivet: (2006)