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math.PR2012★ 1 cited
Multilevel Monte Carlo simulation for Levy processes based on the Wiener-Hopf factorisation
Albert Ferreiro-Castilla, Andreas E. Kyprianou, Robert Scheichl +1
In Kuznetsov et al. (2011) a new Monte Carlo simulation technique was introduced for a large family of Levy processes that is based on the Wiener-Hopf decomposition. We pursue this…
math.NA2012
Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients
A. L. Teckentrup, R. Scheichl, M. B. Giles +1
We consider the application of multilevel Monte Carlo methods to elliptic PDEs with random coefficients. We focus on models of the random coefficient that lack uniform ellipticity…