Add to ORKGThe Multilevel Monte Carlo (MLMC) approach usually works well when estimating the expected value of a quantity which is a Lipschitz function of intermediate quantities, but if it is a discontinuous function it can lead to a much slower decay in the variance of the MLMC correction. This article reviews the literature on techniques which can be used to overcome this challenge in a variety of different contexts, and discusses recent developments using either a branching diffusion or adaptive sampling.Comment: 15 pages, 6 figures, submitted to proceedings of MCQMC22 conferenc
This is a review paper on recent results for different types of generalized ordinary differential eq...
In this paper, Anything Goes: The Sonnenschein-Mantel-Debreu theorem (following the work of Sonnench...
[EN] This paper deals with the numerical solution of option pricing stochastic volatility model desc...
We study the Lp rate of convergence of the Milstein scheme for SDEs when the drift coefficients poss...
Inspired by some iterative algorithms useful for proving the real analyticity (or the Gevrey regular...
We give accurate estimates of the constants Cn(A(I),x) appearing in direct inequalities of the form ...
International audienceWe give a probabilistic representation of a one-dimensional diffusion, equatio...
ABSTRACT: The matrix Riccati equation that must be solved to obtain the solution to stochastic optim...
The paper is a contribution to the problem of estimating the deviation of two discrete probability d...
Let ∶ → ′ be an N-isogeny between elliptic curves (or abelian varieties) over a finite field _. We...
his paper deals with unbounded solutions to a class of chemotaxis systems. In particular, for a rath...
This paper introduces a robust Vector Fitting algorithm for macromodeling of measured of simulated f...
We prove Caccioppoli type estimates and consequently establish local Hölder continuity for a class o...
We prove necessary optimality conditions of Euler-Lagrange type for a problem of the calculus of var...
We begin by introducing a class of conditional density estimators based on local polynomial techniqu...
This is a review paper on recent results for different types of generalized ordinary differential eq...
In this paper, Anything Goes: The Sonnenschein-Mantel-Debreu theorem (following the work of Sonnench...
[EN] This paper deals with the numerical solution of option pricing stochastic volatility model desc...
We study the Lp rate of convergence of the Milstein scheme for SDEs when the drift coefficients poss...
Inspired by some iterative algorithms useful for proving the real analyticity (or the Gevrey regular...
We give accurate estimates of the constants Cn(A(I),x) appearing in direct inequalities of the form ...
International audienceWe give a probabilistic representation of a one-dimensional diffusion, equatio...
ABSTRACT: The matrix Riccati equation that must be solved to obtain the solution to stochastic optim...
The paper is a contribution to the problem of estimating the deviation of two discrete probability d...
Let ∶ → ′ be an N-isogeny between elliptic curves (or abelian varieties) over a finite field _. We...
his paper deals with unbounded solutions to a class of chemotaxis systems. In particular, for a rath...
This paper introduces a robust Vector Fitting algorithm for macromodeling of measured of simulated f...
We prove Caccioppoli type estimates and consequently establish local Hölder continuity for a class o...
We prove necessary optimality conditions of Euler-Lagrange type for a problem of the calculus of var...
We begin by introducing a class of conditional density estimators based on local polynomial techniqu...
This is a review paper on recent results for different types of generalized ordinary differential eq...
In this paper, Anything Goes: The Sonnenschein-Mantel-Debreu theorem (following the work of Sonnench...
[EN] This paper deals with the numerical solution of option pricing stochastic volatility model desc...