A continuation multilevel Monte Carlo algorithm

Title
A continuation multilevel Monte Carlo algorithm
Authors
Keywords
Multilevel Monte Carlo, Monte Carlo, Partial differential equations with random data, Stochastic differential equations, Bayesian inference, 65C05, 65N22
Journal
BIT NUMERICAL MATHEMATICS
Volume 55, Issue 2, Pages 399-432
Publisher
Springer Nature
Online
2014-09-05
DOI
10.1007/s10543-014-0511-3

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