A continuation multilevel Monte Carlo algorithm

Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation

(2014) Michael B. Giles et al.   ANNALS OF APPLIED PROBABILITY

Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients

(2013) A. L. Teckentrup et al.   NUMERISCHE MATHEMATIK

Finite Element Error Analysis of Elliptic PDEs with Random Coefficients and Its Application to Multilevel Monte Carlo Methods

(2013) J. Charrier et al.   SIAM JOURNAL ON NUMERICAL ANALYSIS

Stochastic Finite Differences and Multilevel Monte Carlo for a Class of SPDEs in Finance

(2012) Michael B. Giles et al.   SIAM Journal on Financial Mathematics

Multi-level Monte Carlo Finite Element method for elliptic PDEs with stochastic coefficients

(2011) Andrea Barth et al.   NUMERISCHE MATHEMATIK

A Stochastic Collocation Method for Elliptic Partial Differential Equations with Random Input Data

(2010) Ivo Babuška et al.   SIAM REVIEW

Multilevel Monte Carlo Path Simulation

(2008) Michael B. Giles   OPERATIONS RESEARCH

Adaptive Weak Approximation of Diffusions with Jumps

(2008) E. Mordecki et al.   SIAM JOURNAL ON NUMERICAL ANALYSIS