Tuesday, May 21, 2013
Special Seminar in Applied Mathematics
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.