Monte Carlo and Quasi-Monte Carlo Methods
Monte Carlo and Quasi-Monte Carlo Methods
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蒙特卡罗和准蒙特卡罗方法
DOI：
10.1007/978-3-319-33507-0_14
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发表时间：
2016
期刊：
影响因子：
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通讯作者：
Giles M
中科院分区：
文献类型：
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作者：
Giles M
本文证明了 相对 容易融入 自适应时间步长到多级蒙特卡罗模拟，而不违反多级蒙特卡罗所基于的伸缩和。数值方法，提出了两个SDES和连续时间马尔可夫过程。数值实验给出了每一个，与完整的代码提供给那些谁有兴趣看到的实现细节。
This paper shows that it is relatively easy to incorporate adaptive timesteps into multilevel Monte Carlo simulations without violating the telescoping sum on which multilevel Monte Carlo is based. The numerical approach is presented for both SDEs and continuous-time Markov processes. Numerical experiments are given for each, with the full code available for those who are interested in seeing the implementation details.