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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:
In press
Peer review status:
Peer reviewed
Version:
Accepted Manuscript

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Publisher copy:
10.1007/978-3-319-33507-0

Authors


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Institution:
University of Oxford
Department:
Oxford, MPLS, Mathematical Institute
More by this author
Institution:
University of Oxford
Department:
Oxford, MPLS, Mathematical Institute
Whittle, J More by this author
Publisher:
Springer International Publishing Publisher's website
Volume:
Springer Proceedings in Mathematics and Statistics: 163
Series:
Springer Proceedings in Mathematics and Statistics
Host title:
Monte Carlo and Quasi-Monte Carlo Methods: MCQMC, Leuven, Belgium, April 2014
Publication date:
2016
DOI:
ISSN:
2194-1009
URN:
uuid:8842473b-dc76-40b3-a670-3f29e389b89b
Source identifiers:
622840
Local pid:
pubs:622840
ISBN:
978-3-319-33505-6

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