References

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• 2002Conditional value-at-risk for general loss distributions3,847 cited
• 2008Multilevel Monte Carlo Path Simulation1,445 cited
• 2007A Stochastic Collocation Method for Elliptic Partial Differential Equations with Random Input Data1,396 cited
• 2010Spectral Methods for Uncertainty Quantification953 cited
• 2001Conditional Value-at-Risk: Optimization Approach153 cited
• 2014A continuation multilevel Monte Carlo algorithm121 cited
• 2009On irregular functionals of SDEs and the Euler scheme85 cited
• 2009Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff78 cited
• 2015Multilevel Monte Carlo Approximation of Distribution Functions and Densities70 cited
• 2016Approximation of probability density functions by the Multilevel Monte Carlo Maximum Entropy method52 cited
• 2017A Continuation Multi Level Monte Carlo (C-MLMC) method for uncertainty quantification in compressible inviscid aerodynamics51 cited
• 2020Quantifying uncertain system outputs via the multilevel Monte Carlo method — Part I: Central moment estimation38 cited
• 2019Multilevel Nested Simulation for Efficient Risk Estimation38 cited