Multi-level Monte Carlo path simulation

Multi-level Monte Carlo path simulation

अन्य संस्करण दिखाएं (2)

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...

पूर्ण विवरण

ग्रंथसूची विवरण
मुख्य लेखक:	Giles, M
स्वरूप:	Report
प्रकाशित:	Unspecified 2006

समान संसाधन

Multilevel Monte Carlo path simulation
द्वारा: Giles, M
प्रकाशित: (2008)

Multilevel Monte Carlo path simulation.
द्वारा: Giles, M
प्रकाशित: (2007)

Analysis of multilevel Monte Carlo path simulation using the Milstein discretisation
द्वारा: Giles, M, और अन्य
प्रकाशित: (2019)

Multi-level Monte Carlo approximation of distribution functions and densities
द्वारा: Giles, M, और अन्य
प्रकाशित: (2015)

Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff
द्वारा: Giles, M, और अन्य
प्रकाशित: (2009)

Vibrato Monte Carlo sensitivities
द्वारा: Giles, M
प्रकाशित: (2009)

Multilevel Monte Carlo methods
द्वारा: Giles, M
प्रकाशित: (2015)

Vibrato Monte Carlo sensitivities.
द्वारा: Giles, M
प्रकाशित: (2007)

Multi-level Monte Carlo methods for the approximation of invariant measures of stochastic differential equations
द्वारा: Giles, M, और अन्य
प्रकाशित: (2019)

Path integral Monte Carlo simulations of the geometrical effects in KDP crystals
द्वारा: F. Torresi, और अन्य
प्रकाशित: (2022-12-01)

Torsional path integral Monte Carlo method for the quantum simulation of large molecules
द्वारा: Miller, T, और अन्य
प्रकाशित: (2002)

Monte Carlo evaluation of sensitivities in computational finance
द्वारा: Giles, M
प्रकाशित: (2007)

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

Robustly simulating biochemical reaction kinetics using multi-level Monte Carlo approaches
द्वारा: Lester, C, और अन्य
प्रकाशित: (2018)

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

Simulation and the monte carlo method /
द्वारा: 296842 Rubinstein, Reuven Y., और अन्य
प्रकाशित: (2008)

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

Monte Carlo Simulation and Applications
द्वारा: Abd Al Kareem I Sheet, और अन्य
प्रकाशित: (2012-12-01)

Multilevel Monte Carlo for exponential Lévy models
द्वारा: Giles, M, और अन्य
प्रकाशित: (2017)

Quasi-Monte Carlo for finance applications
द्वारा: Giles, M, और अन्य
प्रकाशित: (2008)

Quasi-Monte Carlo for finance applications.
द्वारा: Giles, M, और अन्य
प्रकाशित: (2008)

Monte Carlo simulations for plasma physics /
द्वारा: M. Okamoto, और अन्य
प्रकाशित: (2000)

MONTE-CARLO SIMULATION ON TRANSPUTER ARRAYS
द्वारा: Askew, C, और अन्य
प्रकाशित: (1988)

Recent Advances of Monte Carlo Simulation /
द्वारा: Couto, Paulo Roberto Guimaraes, contributor, और अन्य
प्रकाशित: (2017)

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

Neural Monte Carlo Fluid Simulation
द्वारा: Jain, Pranav, और अन्य
प्रकाशित: (2024)

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

Monte Carlo simulation with applications to finance /
द्वारा: Wang, Hui
प्रकाशित: (2012)

Monte carlo simulations on potts model /
द्वारा: 494180 Noraini Hasan, और अन्य
प्रकाशित: (2008)

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

Spintronics Simulation with Monte Carlo Method
द्वारा: İbrahim SAVRAN
प्रकाशित: (2011-08-01)

Monte-Carlo simulations of superradiant lasing
द्वारा: Yuan Zhang, और अन्य
प्रकाशित: (2018-01-01)

Teaching Monte Carlo Simulation with Python
द्वारा: Justin O. Holman, और अन्य
प्रकाशित: (2022-10-01)

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

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

Improved multilevel monte carlo convergence using the milstein scheme
द्वारा: Giles, M
प्रकाशित: (2008)

Improved multilevel Monte Carlo convergence using the Milstein scheme.
द्वारा: Giles, M
प्रकाशित: (2007)

Scaling advantage over path-integral Monte Carlo in quantum simulation of geometrically frustrated magnets
द्वारा: Andrew D. King, और अन्य
प्रकाशित: (2021-02-01)

On-the-fly thermal expansion for Monte Carlo multi-physics reactor simulations
द्वारा: Muhammad Imron, और अन्य
प्रकाशित: (2024-10-01)

On the utility of graphics cards to perform massively parallel simulation with advanced Monte Carlo methods.
द्वारा: Lee, A, और अन्य
प्रकाशित: (2009)