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A fault tolerant implementation of Multi-Level Monte Carlo methods
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A fault tolerant implementation of Multi-Level Monte Carlo methods (2013)A fault tolerant implementation of Multi-…Sparse tensor multi-level Monte Carlo finite volume methods for hyperbolic conservation laws with random initial data (2012)Sparse tensor multi-level Mon…Multi-level Monte Carlo finite volume methods for nonlinear systems of conservation laws in multi-dimensions (2012)Multi-level Monte Carlo finit…Multi-level Monte Carlo Finite Element method for elliptic PDEs with stochastic coefficients (2011)Multi-level Monte Carlo Finit…Multilevel Monte Carlo Path Simulation (2008)Multilevel Monte Carlo Path S…Intrinsic fault tolerance of multilevel Monte Carlo methods (2015)Intrinsic fault tolerance of …Sparse tensor discretizations of high-dimensional parametric and stochastic PDEs (2011)Multilevel Monte Carlo Simulation of Statistical Solutions to the Navier–Stokes Equations (2016)A Stochastic Collocation Method for Elliptic Partial Differential Equations with Random Input Data (2007)A Sparse Grid Stochastic Collocation Method for Partial Differential Equations with Random Input Data (2008)Finite Element Error Analysis of Elliptic PDEs with Random Coefficients and Its Application to Multilevel Monte Carlo Methods (2013)Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients (2013)Stochastic finite element methods for partial differential equations with random input data (2014)Uncertainty quantification for systems of conservation laws (2008)Multilevel Monte Carlo method for parabolic stochastic partial differential equations (2012)A Multilevel Stochastic Collocation Method for Partial Differential Equations with Random Input Data (2015)Proceedings of the 2004 Winter Simulation Conference, 2004. (2004)High-Order Collocation Methods for Differential Equations with Random Inputs (2005)Multilevel Monte Carlo for two phase flow and Buckley–Leverett transport in random heterogeneous porous media (2013)Robust Uncertainty Propagation in Systems of Conservation Laws with the Entropy Closure Method (2013)Convergence analysis of multilevel Monte Carlo variance estimators and application for random obstacle problems (2014)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Monte Carlo Methods in Financial Engineering (2003)Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients (2012)Numerical solution of stochastic differential equations (2016)Optimal Model Management for Multifidelity Monte Carlo Estimation (2016)
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References

  • 2008Multilevel Monte Carlo Path Simulation1,445 cited
  • 2011Multi-level Monte Carlo Finite Element method for elliptic PDEs with stochastic coefficients296 cited
  • 2012Sparse tensor multi-level Monte Carlo finite volume methods for hyperbolic conservation laws with random initial data142 cited
  • 2012Multi-level Monte Carlo finite volume methods for nonlinear systems of conservation laws in multi-dimensions113 cited

Cited by

  • 2015Intrinsic fault tolerance of multilevel Monte Carlo methods15 cited

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