Multilevel Monte Carlo methods
Numerical Analysis
2013-04-22 v1
Abstract
The author's presentation of multilevel Monte Carlo path simulation at the MCQMC 2006 conference stimulated a lot of research into multilevel Monte Carlo methods. This paper reviews the progress since then, emphasising the simplicity, flexibility and generality of the multilevel Monte Carlo approach. It also offers a few original ideas and suggests areas for future research.
Keywords
Cite
@article{arxiv.1304.5472,
title = {Multilevel Monte Carlo methods},
author = {Michael B. Giles},
journal= {arXiv preprint arXiv:1304.5472},
year = {2013}
}