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Multilevel Monte Carlo methods

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SDBW01 - Opening workshop

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.

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