Non-nested adaptive timesteps in multilevel Monte Carlo computations
This paper shows that it is relatively easy to incorporate adaptive timesteps into multilevel Monte Carlo simulations without violating the telescoping sum on which multilevel Monte Carlo is based. The numerical approach is presented for both SDEs and continuous-time Markov processes. Numerical expe...
| Main Authors: | , , |
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| Format: | Book section |
| Published: |
Springer International Publishing
2016
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