Mathematics – Numerical Analysis
Scientist
Mathematics
Numerical Analysis
Scientist
Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients
On the utility of graphics cards to perform massively parallel simulation of advanced Monte Carlo methods
Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance
The computation of Greeks with multilevel Monte Carlo
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