Abstract
The author's presentation of multilevel Monte Carlo path simulation at the MCQMC 2006 conference stimulated a lot of research into multilevel Monte Carlo methods. This paper reviews the progress since then, emphasising the simplicity, flexibility and generality of the multilevel Monte Carlo approach. It also offers a few original ideas and suggests areas for future research. © Springer-Verlag Berlin Heidelberg 2013.
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CITATION STYLE
APA
Giles, M. B. (2013). Multilevel Monte Carlo Methods. In Springer Proceedings in Mathematics and Statistics (Vol. 65, pp. 83–103). https://doi.org/10.1007/978-3-642-41095-6_4
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