Thesis
Nested multilevel Monte Carlo methods and a modified Euler-Maruyama scheme utilising approximate Gaussian random variables suitable for vectorised hardware and low-precisions
- Abstract:
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We present a modified Euler-Maruyama scheme using approximate random variables, produced by the inverse transform method, using cheap approximations to the inverse Gaussian cumulative distribution function. We analyse the error for two approximations: a piecewise constant approximation on equally spaced intervals, and a piecewise linear approximation using geometric intervals dense at the singularities. High speed implementations faster than Intel's MKL are provided, suitable for modern ve...
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Funding
Bibliographic Details
- Type of award:
- DPhil
- Level of award:
- Doctoral
- Awarding institution:
- University of Oxford
Item Description
- Language:
- English
- Keywords:
- Subjects:
- Deposit date:
- 2020-12-23
Related Items
Terms of use
- Copyright holder:
- Sheridan-Methven, O
- Copyright date:
- 2021
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