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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…
math.NA2019★ 13 cited
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…
math.NA2019
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…