1 citations · 1 across the 2 of their papers we have counts for
3 papers
math.NA2019★ 1 cited
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…
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.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…