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
Actions
Access Document
- Files:
-
-
(Preview, Accepted manuscript, pdf, 212.3KB, Terms of use)
-
- Publisher copy:
- 10.1007/978-3-319-33507-0_14
Authors
- Publisher:
- Springer International Publishing
- Host title:
- Monte Carlo and Quasi-Monte Carlo Methods: MCQMC, Leuven, Belgium, April 2014
- Pages:
- 303–314
- Series:
- Springer Proceedings in Mathematics and Statistics
- Series number:
- 163
- Publication date:
- 2016-06-14
- Event title:
- Eleventh International Conference on Monte Carlo and Quasi-Monte Carlo Methods (MCQMC)
- Event location:
- Leuven, Belgium
- Event start date:
- 2014-04-06
- Event end date:
- 2014-04-11
- DOI:
- EISSN:
-
2194-1017
- ISSN:
-
2194-1009
- EISBN:
- 978-3-319-33507-0
- ISBN:
- 978-3-319-33505-6
- Language:
-
English
- Pubs id:
-
pubs:622840
- UUID:
-
uuid:8842473b-dc76-40b3-a670-3f29e389b89b
- Local pid:
-
pubs:622840
- Source identifiers:
-
622840
- Deposit date:
-
2016-05-17
Terms of use
- Copyright holder:
- Springer International Publishing Switzerland
- Copyright date:
- 2016
- Rights statement:
- © 2016 Springer International Publishing Switzerland
- Notes:
- This is the accepted manuscript version of the paper. The final version is available online from Springer International Publishing at https://dx.doi.org/10.1007/978-3-319-33507-0_14
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