… The contribution of the present paper to the multilevel Monte Carlo method is the development
of a novel algorithm with adaptive, non uniform time steps. The algorithm uses adaptive …

… → our goal is to approximate the expected value E[ ( ( ))] by adaptive multilevel Monte Carlo
(MLMC) methods. A typical application is to compute option prices in mathematical nance, cf…

… Adaptive sampling techniques [5, 9, 13] have proven successful in reducing the cost of
Monte Carlo and MLMC for specific instances of (1.2). This paper builds upon such methods to …

… for the adaptive refinement of the mesh hierarchy used in the multilevel Monte Carlo simulation
… the performance of the adaptive method for a posteriori error control in Monte Carlo and …

… While multilevel Monte Carlo (MLMC) methods for the numerical approximation of partial …
We present an adaptive MLMC finite element approach based on deterministic adaptive mesh …

… sparse grid method are based on similar ideas. In [11] this … adaptive multilevel Monte Carlo
method which obtains the same convergence rate in the RMSE as the original MLMC method …

… We analyse a multilevel Monte Carlo method for the approximation of distribution functions
… analysis of the error and the cost of the algorithm. Furthermore we construct an adaptive …

… In this article, we review the ideas behind the multilevel Monte Carlo method, and various
recent generalizations and extensions, and discuss a number of applications which illustrate …

… a generalization of the multilevel Monte Carlo (MLMC) method to a setting where the level
parameter is a continuous variable. This continuous level Monte Carlo (CLMC) estimator …

… Using properly-refined discretizations by isoparametric d-linear quadrilateral finite
elements, we propose the development and analysis of an adaptive multilevel Monte Carlo (AMLMC) …