Multilevel Monte Carlo methods

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• Mike Giles ()
• Friday 22 January 2016, 11:45-12:30
• Seminar Room 1, Newton Institute.

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SDBW01 - Opening workshop

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 

This talk is part of the Isaac Newton Institute Seminar Series series.

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