207 citations · 416 across the 27 of their papers we have counts for
4 papers · 1 filter
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…
Multilevel quasi Monte Carlo methods for elliptic PDEs with random field coefficients via fast white noise sampling
M. Croci, M. B. Giles, P. E. Farrell
When solving partial differential equations with random fields as coefficients the efficient sampling of random field realisations can be challenging. In this paper we focus on the…
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…
An Adaptive Random Bit Multilevel Algorithm for SDEs
Michael B. Giles, Mario Hefter, Lukas Mayer +1
We study the approximation of expectations for solutions of stochastic differential equations and functionals on the path space by means of Monte C…