Multilevel Monte Carlo methods
classification
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carlomontemultilevelmethodsresearchapproachareasauthor
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The author's presentation of multilevel Monte Carlo path simulation at the MCQMC 2006 conference stimulated a lot of research into multilevel Monte Carlo methods. This paper reviews the progress since then, emphasising the simplicity, flexibility and generality of the multilevel Monte Carlo approach. It also offers a few original ideas and suggests areas for future research.
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