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- Publications
- Influence

A continuation multilevel Monte Carlo algorithm

- N. Collier, Abdul-Lateef Haji-Ali, F. Nobile, E. Schwerin, R. Tempone
- Mathematics
- 11 February 2014

We propose a novel Continuation Multi Level Monte Carlo (CMLMC) algorithm for weak approximation of stochastic models. The CMLMC algorithm solves the given approximation problem for a sequence of… Expand

Approximation of Quantities of Interest in Stochastic PDEs by the Random Discrete L2 Projection on Polynomial Spaces

- G. Migliorati, F. Nobile, E. Schwerin, R. Tempone
- Mathematics, Computer Science
- SIAM J. Sci. Comput.
- 30 May 2013

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Adaptive Multilevel Monte Carlo Simulation

- Håkon Hoel, E. Schwerin, A. Szepessy, R. Tempone
- Mathematics
- CSE
- 2012

This work generalizes a multilevel forward Euler Monte Carlo method introduced in Michael B. Giles. (Michael Giles. Oper. Res. 56(3):607–617, 2008.) for the approximation of expected values depending… Expand

Implementation and analysis of an adaptive multilevel Monte Carlo algorithm

- Håkon Hoel, E. Schwerin, A. Szepessy, R. Tempone
- Mathematics, Computer Science
- Monte Carlo Methods Appl.
- 1 March 2014

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Adaptive Monte Carlo Algorithms for Stopped Diffusion

- Anna Dzougoutov, K. Moon, E. Schwerin, A. Szepessy, R. Tempone
- Mathematics
- 2005

We present adaptive algorithms for weak approximation of stopped diffusion using the Monte Carlo Euler method. The goal is to compute an expected value E[g(X(τ), τ)] of a given function g depending… Expand

MATHICSE Technical Report : Analysis of the discrete $L^2$ projection on polynomial spaces with random evaluations

- G. Migliorati, F. Nobile, E. Schwerin, R. Tempone
- Mathematics
- 6 December 2011

Analysis of Discrete $$L^2$$L2 Projection on Polynomial Spaces with Random Evaluations

- G. Migliorati, F. Nobile, E. Schwerin, R. Tempone
- Mathematics, Computer Science
- Found. Comput. Math.
- 1 June 2014

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On NonAsymptotic Optimal Stopping Criteria in Monte Carlo Simulations

- Christian Bayer, Håkon Hoel, E. Schwerin, R. Tempone
- Mathematics, Computer Science
- SIAM J. Sci. Comput.
- 29 April 2014

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An Adaptive Algorithm for Ordinary, Stochastic and Partial Differential Equations

- K. Moon, E. Schwerin, A. Szepessy, R. Tempone
- Mathematics
- 2005

The theory of a posteriori error estimates suitable for adaptive refinement is well established. This work focuses on the fundamental, but less studied, issue of convergence rates of adaptive algor… Expand

ON NON-ASYMPTOTIC OPTIMAL STOPPING CRITERIA IN MONTE CARLO SIMULATIONS

We consider the setting of estimating the mean of a random variable by a sequential stopping rule Monte Carlo (MC) method. The performance of a typical second moment based sequential stopping rule MC… Expand

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- Open Access