Adaptive multilevel Monte Carlo approximation of distribution functions
We analyse a multilevel Monte Carlo method for the approximation of distribution functions
of univariate random variables. Since, by assumption, the target distribution is not known …
of univariate random variables. Since, by assumption, the target distribution is not known …
Adaptive Multilevel Monte Carlo Approximation of Distribution Functions
MB Giles, T Nagapetyan, K Ritter - arXiv e-prints, 2017 - ui.adsabs.harvard.edu
We analyse a multilevel Monte Carlo method for the approximation of distribution functions
of univariate random variables. Since, by assumption, the target distribution is not known …
of univariate random variables. Since, by assumption, the target distribution is not known …