207 citations · 416 across the 27 of their papers we have counts for
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math.NA2017
Multilevel estimation of expected exit times and other functionals of stopped diffusions
Michael B. Giles, Francisco Bernal
This paper proposes and analyses a new multilevel Monte Carlo method for the estimation of mean exit times for multi-dimensional Brownian diffusions, and associated functionals whi…
math.NA2017
Random Bit Quadrature and Approximation of Distributions on Hilbert Spaces
Michael B. Giles, Mario Hefter, Lukas Mayer +1
We study the approximation of expectations $\E(f(X))$ for Gaussian random elements with values in a separable Hilbert space and Lipschitz continuous functionals $f \colon H…
math.NA2017
Adaptive Euler-Maruyama method for SDEs with non-globally Lipschitz drift: Part II, infinite time interval
Wei Fang, Michael B. Giles
This paper proposes an adaptive timestep construction for an Euler-Maruyama approximation of the ergodic SDEs with a drift which is not globally Lipschitz over an infinite time int…