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UID:www.tcs.tifr.res.in/event/310
DTSTAMP:20230914T125919Z
SUMMARY:Multilevel Monte Carlo Path Simulation
DESCRIPTION:Speaker: Ankush  Agarwal\n\nAbstract: \nWe will see how multigr
 id ideas can be used to reduce the computational complexity (computational
  cost) of estimating an expected value arising from the solution of a stoc
 hastic differential equation using Monte Carlo path simulations. In the si
 mplest case of a Lipschitz payoff and a Euler discretization\, the computa
 tional cost to achieve an accuracy of O(e) is reduced from O(e^-3) to O(e^
 -2 * (log e)^2). A brief overview of related concepts will be provided bef
 ore discussing the main details of the paper. (e = \\epsilon)\n\n*Referenc
 e: *Giles\, M.B.\, Multilevel Monte Carlo Path Simulation\, Operations Res
 earch\, 2008.\n
URL:https://www.tcs.tifr.res.in/web/events/310
DTSTART;TZID=Asia/Kolkata:20121005T150000
DTEND;TZID=Asia/Kolkata:20121005T163000
LOCATION:A-212 (STCS Seminar Room)
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