3 papers
math.NA2025
The multi-index Monte Carlo method for semilinear stochastic partial differential equations
Abdul-Lateef Haji-Ali, Håkon Hoel, Andreas Petersson
Stochastic partial differential equations (SPDEs) are often difficult to solve numerically due to their low regularity and high dimensionality. These challenges limit the practical…
stat.CO2024
A Fast and Accurate Numerical Method for the Left Tail of Sums of Independent Random Variables
Nadhir Ben Rached, Håkon Hoel, Johannes Vincent Meo
We present a flexible, deterministic numerical method for computing left-tail rare events of sums of non-negative, independent random variables. The method is based on iterative nu…
math.PR2018
Central limit theorems for multilevel Monte Carlo methods
Håkon Hoel, Sebastian Krumscheid
In this work, we show that uniform integrability is not a necessary condition for central limit theorems (CLT) to hold for normalized multilevel Monte Carlo (MLMC) estimators and w…