3 papers
math.NA2025
Multilevel lattice-based kernel approximation for elliptic PDEs with random coefficients
Alexander D. Gilbert, Michael B. Giles, Frances Y. Kuo +2
This paper introduces a multilevel kernel-based approximation method to estimate efficiently solutions to elliptic partial differential equations (PDEs) with periodic random coeffi…
q-fin.CP2025
A nested MLMC framework for efficient simulations on FPGAs
Irina-Beatrice Haas, Michael B. Giles
Multilevel Monte Carlo (MLMC) reduces the total computational cost of financial option pricing by combining SDE approximations with multiple resolutions. This paper explores a furt…
math.NA2024
Strong convergence of path sensitivities
Michael B. Giles
It is well known that the Euler-Maruyama discretisation of an autonomous SDE using a uniform timestep has a strong convergence error which is when the drift and di…