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SUMMARY:Multilevel Monte Carlo methods - Mike Giles ()
DTSTART:20160122T114500Z
DTEND:20160122T123000Z
UID:TALK64673@talks.cam.ac.uk
CONTACT:INI IT
DESCRIPTION: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 r
 eview the ideas behind  MLMC\, and discuss some extensions such as adaptiv
 e time-stepping and alternative  couplings between coarse and fine simulat
 ions. <br><br>Related Links <ul> <li><a target="_blank" rel="nofollow">htt
 p://people.maths.ox.ac.uk/gilesm/mlmc.html</a>  - My MLMC research  </li><
 li><a target="_blank" rel="nofollow">http://people.maths.ox.ac.uk/gilesm/m
 lmc_community.html</a>  - MLMC community research&nbsp\;</li></ul>
LOCATION:Seminar Room 1\, Newton Institute
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