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Mike Giles ()
Friday 22 January 2016, 11:45-12:30
Multilevel Monte Carlo methods
â ī¸ Important: SDBW01 - Opening workshop
- đ¤ Speaker: Mike Giles ()
- đ Date & Time: Friday 22 January 2016, 11:45 - 12:30
- đ Venue: Seminar Room 1, Newton Institute
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Abstract
The multilevel Monte Carlo (MLMC) method was developed by the author for Brownian diffusion SDEs, and then adapted for continuous-time Markov processes by David Anderson and Des Higham. In this talk I will review the ideas behind MLMC , and discuss some extensions such as adaptive time-stepping and alternative couplings between coarse and fine simulations.
Related Links
- http://people.maths.ox.ac.uk/gilesm/mlmc.html – My MLMC research
- http://people.maths.ox.ac.uk/gilesm/mlmc_community.html – MLMC community research
Series This talk is part of the Isaac Newton Institute Seminar Series series.
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