83 citations · 225 across the 11 of their papers we have counts for
8 papers · 1 filter
Importance Sampling for Pathwise Sensitivity of Stochastic Chaotic Systems
Wei Fang, Mike Giles
This paper proposes a new pathwise sensitivity estimator for chaotic SDEs. By introducing a spring term between the original and perturbated SDEs, we derive a new estimator by impo…
Multilevel Monte Carlo Method for Ergodic SDEs without Contractivity
Wei Fang, Michael B. Giles
This paper proposes a new multilevel Monte Carlo (MLMC) method for the ergodic SDEs which do not satisfy the contractivity condition. By introducing the change of measure technique…
Combining sparse grids, multilevel MC and QMC for elliptic PDEs with random coefficients
Michael B. Giles, Frances Y. Kuo, Ian H. Sloan
Building on previous research which generalized multilevel Monte Carlo methods using either sparse grids or Quasi-Monte Carlo methods, this paper considers the combination of all t…
Decision-making under uncertainty: using MLMC for efficient estimation of EVPPI
Michael B. Giles, Takashi Goda
In this paper we develop a very efficient approach to the Monte Carlo estimation of the expected value of partial perfect information (EVPPI) that measures the average benefit of k…
Multilevel Monte Carlo and Improved Timestepping Methods in Atmospheric Dispersion Modelling
Grigoris Katsiolides, Eike H. Müller, Robert Scheichl +3
A common way to simulate the transport and spread of pollutants in the atmosphere is via stochastic Lagrangian dispersion models. Mathematically, these models describe turbulent tr…
Adaptive Euler-Maruyama Method for SDEs with Non-globally Lipschitz Drift: Part I, Finite Time Interval
Wei Fang, Michael Bryce Giles
This paper proposes an adaptive timestep construction for an Euler-Maruyama approximation of SDEs with a drift which is not globally Lipschitz. It is proved that if the timestep is…
Multilevel Monte Carlo methods
Michael B. Giles
The author's presentation of multilevel Monte Carlo path simulation at the MCQMC 2006 conference stimulated a lot of research into multilevel Monte Carlo methods. This paper review…
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…