Multilevel Methods

Denis Belomestny () and John Schoenmakers
Additional contact information
Denis Belomestny: Universität Duisburg-Essen
John Schoenmakers: The Weierstrass Institute

Chapter Chapter 4 in Advanced Simulation-Based Methods for Optimal Stopping and Control, 2018, pp 55-75 from Palgrave Macmillan

Abstract: Abstract The multilevel path simulation method (MLMC) introduced in Giles [52] has gained huge popularity as a complexity reduction tool in recent times.

Keywords: Multilevel Monte Carlo (MLMC); Weak Euler Scheme; MLMC Algorithm; MLMC Method; MLMC Estimator (search for similar items in EconPapers)
Date: 2018
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-03351-2_4

Ordering information: This item can be ordered from
http://www.palgrave.com/9781137033512

DOI: 10.1057/978-1-137-03351-2_4

Access Statistics for this chapter

More chapters in Palgrave Macmillan Books from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().