Multi-level Monte Carlo approximation of distribution functions and densities
We construct and analyze multi-level Monte Carlo methods for the approximation of distribution functions and densities of univariate random variables. Since, by assumption, the target distribution is not known explicitly, approximations have to be used. We provide a general analysis under suitable a...
| Main Authors: | , , |
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| Format: | Journal article |
| Published: |
Society for Industrial and Applied Mathematics
2015
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