Multilevel Monte Carlo methods
51 mins 38 secs,
752.05 MB,
MPEG-4 Video
640x360,
29.97 fps,
44100 Hz,
1.94 Mbits/sec
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About this item
| Description: |
Giles, M
Friday 22nd January 2016 - 11:45 to 12:30 |
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| Created: | 2016-02-01 17:24 |
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| Collection: | Stochastic Dynamical Systems in Biology: Numerical Methods and Applications |
| Publisher: | Isaac Newton Institute |
| Copyright: | Giles, M |
| Language: | eng (English) |
| Distribution: |
World
(downloadable)
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| Explicit content: | No |
| Aspect Ratio: | 16:9 |
| Screencast: | No |
| Bumper: | UCS Default |
| Trailer: | UCS Default |
| Abstract: | The multilevel Monte Carlo (MLMC) method was developed by the author for Brownian diffusion SDEs, and then adapted for continuous-time Markov processes by David Anderson and Des Higham. In this talk I will review the ideas behind MLMC, and discuss some extensions such as adaptive time-stepping and alternative couplings between coarse and fine simulations.
Related Links http://people.maths.ox.ac.uk/gilesm/mlmc.html - My MLMC research http://people.maths.ox.ac.uk/gilesm/mlmc_community.html - MLMC community research |
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