2011
DOI: 10.1007/978-3-642-21943-6_10
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Adaptive Multilevel Monte Carlo Simulation

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Cited by 42 publications
(45 citation statements)
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“…The most significant prior research on adaptive timestepping in MLMC has been by Hoel, von Schwerin, Szepessy and Tempone [9] and [10]. In their research, they construct a multilevel adaptive timestepping discretisation in which the timesteps used on level are a subdivision of those used on level −1, which in turn are a subdivision of those on level −2, and so on.…”
Section: In the Particular Case In Which |E[p ]−E[p] | ∝mentioning
confidence: 98%
“…The most significant prior research on adaptive timestepping in MLMC has been by Hoel, von Schwerin, Szepessy and Tempone [9] and [10]. In their research, they construct a multilevel adaptive timestepping discretisation in which the timesteps used on level are a subdivision of those used on level −1, which in turn are a subdivision of those on level −2, and so on.…”
Section: In the Particular Case In Which |E[p ]−E[p] | ∝mentioning
confidence: 98%
“…] is in this setting based on constructing numerical realizations X (t) on stochastic adaptively refined meshes ∆t { } so that the 17) are asymptotically fulfilled, and by determining the number of samples M 0 to ensure that the statistical error…”
Section: Stochastic Time Steppingmentioning
confidence: 99%
“…[26]. The idea of extending the MLMC method [11] to hierarchies of adaptively refined, non uniform time discretizations that are generated by the adaptive algorithm introduced in [26,25,8] was first introduced and tested computationally by the authors in [17].…”
Section: Introductionmentioning
confidence: 99%
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“…To mitigate the known slow convergence of Monte Carlo methods, multilevel Monte Carlo methods have been recently developed; see, e.g., [2,3,4,5,6,7,8]. A hierarchy of nested finite element subspaces…”
Section: Introductionmentioning
confidence: 99%