13 citations · 24 across the 3 of their papers we have counts for
4 papers
Generalised multilevel Picard approximations
Michael B. Giles, Arnulf Jentzen, Timo Welti
It is one of the most challenging problems in applied mathematics to approximatively solve high-dimensional partial differential equations (PDEs). In particular, most of the numeri…
Multilevel Monte Carlo estimation of the expected value of sample information
Tomohiko Hironaka, Michael B. Giles, Takashi Goda +1
We study Monte Carlo estimation of the expected value of sample information (EVSI) which measures the expected benefit of gaining additional information for decision making under u…
Adaptive Multilevel Monte Carlo Approximation of Distribution Functions
Mike B. Giles, Tigran Nagapetyan, Klaus Ritter
We analyse a multilevel Monte Carlo method for the approximation of distribution functions of univariate random variables. Since, by assumption, the target distribution is not know…
The computation of Greeks with multilevel Monte Carlo
Sylvestre Burgos, M. B. Giles
We study the use of the multilevel Monte Carlo technique in the context of the calculation of Greeks. The pathwise sensitivity analysis differentiates the path evolution and reduce…