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- W3100675551 abstract "The multi-level Monte Carlo method proposed by Giles (2008) approximates the expectation of some functionals applied to a stochastic process with optimal order of convergence for the mean-square error. In this paper a modified multi-level Monte Carlo estimator is proposed with significantly reduced computational costs. As the main result, it is proved that the modified estimator reduces the computational costs asymptotically by a factor ( p / α) 2 if weak approximation methods of orders α and p are applied in the case of computational costs growing with the same order as the variances decay." @default.
- W3100675551 created "2020-11-23" @default.
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- W3100675551 date "2015-06-01" @default.
- W3100675551 modified "2023-10-18" @default.
- W3100675551 title "On the Acceleration of the Multi-Level Monte Carlo Method" @default.
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- W3100675551 doi "https://doi.org/10.1239/jap/1437658600" @default.
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