Special Seminar in Applied Mathematics
Annenberg 105
Multilevel Monte Carlo Method
Mike Giles,
Professorial Fellow in Mathematical Finance at St Hugh's College,
University of Oxford,
In this talk, I will describe the multilevel Monte Carlo method which reduces the computational cost of Monte Carlo simulation by combining simulations with different levels of resolution. Numerical results will be presented for two application areas: computational finance with a payoff dependent of the solution of a stochastic differential equation, and uncertainty quantification in modelling oil reservoirs and nuclear waste repositories with a stochastic field representation for the uncertain rock permeability.
For more information, please contact Sydney Garstang by phone at x4555 or by email at [email protected] or visit http://www.acm.caltech.edu.
Event Series
Special Seminars in Applied Mathematics