activity
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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Showing 2018Show all

2 papers · 1 filter

math.NA2018

Random Bit Multilevel Algorithms for Stochastic Differential Equations

Michael B. Giles, Mario Hefter, Lukas Mayer +1

We study the approximation of expectations $\E(f(X))$ for solutions of SDEs and functionals by means of restricted Monte Carlo algorithms that m…

math.NA2018★ 34 cited

Efficient white noise sampling and coupling for multilevel Monte Carlo with non-nested meshes

Matteo Croci, Michael B. Giles, Marie E. Rognes +1

When solving stochastic partial differential equations (SPDEs) driven by additive spatial white noise, the efficient sampling of white noise realizations can be challenging. Here,…