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20172026
most citedTheory and construction of Quasi-Monte Carlo rules for option pricing and density estimation

1 citations · 1 across the 16 of their papers we have counts for

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math.NA2023

A complex-projected Rayleigh quotient iteration for targeting interior eigenvalues

Nils Friess, Alexander D. Gilbert, Robert Scheichl

We introduce a new Projected Rayleigh Quotient Iteration aimed at improving the convergence behaviour of classic Rayleigh Quotient iteration (RQI) by incorporating approximate info…

math.NA2023

Multilevel Monte Carlo methods for stochastic convection-diffusion eigenvalue problems

Tiangang Cui, Hans De Sterck, Alexander D. Gilbert +2

We develop new multilevel Monte Carlo (MLMC) methods to estimate the expectation of the smallest eigenvalue of a stochastic convection-diffusion operator with random coefficients.…