activity
20122023
most citedAntithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation

83 citations · 225 across the 11 of their papers we have counts for

collaborators
Showing 2018Show all

2 papers · 1 filter

math.NA2018★ 4 cited

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…

q-fin.CP2018

Multilevel nested simulation for efficient risk estimation

Michael B. Giles, Abdul-Lateef Haji-Ali

We investigate the problem of computing a nested expectation of the form where is t…