Presented by:
Mike Giles
Date:
Friday 22nd January 2016 - 11:45 to 12:30
Venue:
INI Seminar Room 1
Event:
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.
Related Links
Related Links
- http://people.maths.ox.ac.uk/gilesm/mlmc.html - My MLMC research
- http://people.maths.ox.ac.uk/gilesm/mlmc_community.html - MLMC community research
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