87 citations · 148 across the 20 of their papers we have counts for
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math.PR2015★ 2 cited
Coupling Importance Sampling and Multilevel Monte Carlo using Sample Average Approximation
Ahmed Kebaier, Jérôme Lelong
In this work, we propose a smart idea to couple importance sampling and Multilevel Monte Carlo (MLMC). We advocate a per level approach with as many importance sampling parameters…
math.PR2015★ 35 cited
Central limit theorem for the multilevel Monte Carlo Euler method
Mohamed Ben Alaya, Ahmed Kebaier
This paper focuses on studying the multilevel Monte Carlo method recently introduced by Giles [Oper. Res. 56 (2008) 607-617] which is significantly more efficient than the classica…