207 citations · 416 across the 27 of their papers we have counts for
4 papers · 1 filter
Extending the multi-level method for the simulation of stochastic biological systems
Christopher Lester, Ruth E. Baker, Michael B. Giles +1
The multi-level method for discrete state systems, first introduced by Anderson and Higham [Multiscale Model. Simul. 10:146--179, 2012], is a highly efficient simulation technique…
An adaptive multi-level simulation algorithm for stochastic biological systems
Christopher Lester, Christian A. Yates, Michael B. Giles +1
Discrete-state, continuous-time Markov models are widely used in the modeling of biochemical reaction networks. Their complexity often precludes analytic solution, and we rely on s…
A model and variance reduction method for computing statistical outputs of stochastic elliptic partial differential equations
Ferran Vidal-Codina, Ngoc-Cuong Nguyen, Mike B. Giles +1
We present a model and variance reduction method for the fast and reliable computation of statistical outputs of stochastic elliptic partial differential equations. Our method cons…
Multilevel Monte Carlo For Exponential Lévy Models
Mike Giles, Yuan Xia
We apply multilevel Monte Carlo for option pricing problems using exponential Lévy models with a uniform timestep discretisation to monitor the running maximum required for lookbac…