83 citations · 225 across the 11 of their papers we have counts for
Showing 2012Show all
2 papers · 1 filter
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…
q-fin.CP2012★ 83 cited
Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
Michael B. Giles, Lukasz Szpruch
In this paper we introduce a new multilevel Monte Carlo (MLMC) estimator for multi-dimensional SDEs driven by Brownian motions. Giles has previously shown that if we combine a nume…