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Multilevel Monte Carlo methods

Presented by: 
Mike Giles
Date: 
Friday 22nd January 2016 - 11:45 to 12:30
Venue: 
INI Seminar Room 1
Abstract: 
The multilevel Monte Carlo (MLMC) method was developed by the author for Brownian diffusion SDEs, and then adapted for continuous-time Markov processes by David Anderson and Des Higham. In this talk I will review the ideas behind MLMC, and discuss some extensions such as adaptive time-stepping and alternative couplings between coarse and fine simulations.

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University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons