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Multilevel Methods

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Advanced Simulation-Based Methods for Optimal Stopping and Control

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Abstract

The multilevel path simulation method (MLMC) introduced in Giles [52] has gained huge popularity as a complexity reduction tool in recent times.

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Authors and Affiliations

  1. Fachbereich Mathematik, Universität Duisburg-Essen, Moscow, Russia

    Denis Belomestny

  2. The Weierstrass Institute, Berlin, Germany

    John Schoenmakers

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  1. Denis Belomestny
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  2. John Schoenmakers
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Correspondence to Denis Belomestny .

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Belomestny, D., Schoenmakers, J. (2018). Multilevel Methods. In: Advanced Simulation-Based Methods for Optimal Stopping and Control. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-137-03351-2_4

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  • DOI: https://doi.org/10.1057/978-1-137-03351-2_4

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  • Publisher Name: Palgrave Macmillan, London

  • Print ISBN: 978-1-137-03350-5

  • Online ISBN: 978-1-137-03351-2

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