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20092025
most citedOn the utility of graphics cards to perform massively parallel simulation of advanced Monte Carlo methods

207 citations · 416 across the 27 of their papers we have counts for

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math.NA2016

Multilevel Monte Carlo methods for the approximation of invariant measures of stochastic differential equations

Michael B. Giles, Mateusz B. Majka, Lukasz Szpruch +2

We develop a framework that allows the use of the multi-level Monte Carlo (MLMC) methodology (Giles2015) to calculate expectations with respect to the invariant measure of an ergod…