Conference item

Non-nested adaptive timesteps in multilevel Monte Carlo computations

Abstract:: This paper shows that it is relatively easy to incorporate adaptive timesteps into multilevel Monte Carlo simulations without violating the telescoping sum on which multilevel Monte Carlo is based. The numerical approach is presented for both SDEs and continuous-time Markov processes. Numerical experiments are given for each, with the full code available for those who are interested in seeing the implementation details.

Publication status:: Published

Peer review status:: Peer reviewed

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APA Style

Giles, M., Lester, C., & Whittle, J. (2016). Non-nested adaptive timesteps in multilevel Monte Carlo computations.

MLA Style

Giles, M, et al. “Non-Nested Adaptive Timesteps in Multilevel Monte Carlo Computations.” Springer Proceedings in Mathematics & Statistics, 2016.

Chicago Style

Giles, M, C Lester, and J Whittle. 2016. “Non-Nested Adaptive Timesteps in Multilevel Monte Carlo Computations.” Springer Proceedings in Mathematics & Statistics.
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Publisher copy:: 10.1007/978-3-319-33507-0_14

Authors

+ Giles, M More by this author

Institution:: University of Oxford
Division:: MPLS
Department:: Mathematical Institute
Role:: Author

+ Lester, C More by this author

Role:: Author

+ Whittle, J More by this author

Role:: Author

Publisher:: Springer Verlag
Host title:: Monte Carlo and Quasi-Monte Carlo Methods
Journal:: Monte Carlo and Quasi-Monte Carlo Methods More from this journal
Series:: Springer Proceedings in Mathematics & Statistics
Publication date:: 2016-06-14
DOI:: 10.1007/978-3-319-33507-0_14
ISBN:: 9783319335056

Keywords:: multilevel Monte Carlo

SBTMR

adaptive timestep

SDE

continuous-time Markov process
Pubs id:: pubs:542347
UUID:: uuid:2f0df2b2-2bed-4be4-a460-78e74b3added
Local pid:: pubs:542347
Source identifiers:: 542347
Deposit date:: 2015-09-03
ARK identifier:: ark:/29072/ora_2f0df2b22bed4be4a46078e74b3added

Terms of use

Copyright holder:: Springer
Copyright date:: 2016
Notes:: Conference paper from MCQMC, Leuven, Belgium, April 2014.

Licence:: Terms and Conditions of Use for Oxford University Research Archive

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