A continuation multilevel Monte Carlo algorithm - Collier, Nathan; Haji-Ali, Abdul-Lateef; Nobile, Fabio; von Schwerin, Erik; Tempone, Raúl (BIT, 2015)
Keywords: ADAPTIVE WEAK APPROXIMATION; Bayesian inference; COMPLEXITY; Computational Mathematics and Numerical Analysis; DIFFERENTIAL-EQUATIONS; FINANCE; Mathematics; MATHEMATICS AND COMPUTING; Mathematics and Statistics; Monte Carlo; Multilevel Monte Carlo; Numeric Computing; Partial differential equations with random data; SIMULATION; Stochastic differential equations; Partial differential equations with random data; Stochastic differential equations; Monte Carlo; Multilevel Monte Carlo; 65C05; Bayesian inference; 65N22