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Multilevel Monte Carlo with Numerical Smoothing for Robust and Efficient Computation of Probabilities and Densities

By Christian Bayer and others
The multilevel Monte Carlo (MLMC) method is highly efficient for estimating expectations of a functional of a solution to a stochastic differential equation (SDE). However, MLMC estimators may be unstable and have a poor (noncanonical) complexity in the case of low regularity of the functional. To overcome this issue, we... Show more
October 2, 2023
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Multilevel Monte Carlo with Numerical Smoothing for Robust and Efficient Computation of Probabilities and Densities
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