A Multilevel Approach to Control Variates

By Adam Speight. 2009

26 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Ocean Engineering

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Nicolas Chopin
2. Chris J. Oates
3. Mark A. Girolami
4. M. Giles
5. Lukasz Szpruch

In Finance

1. Nicolas Chopin
2. Chris J. Oates
3. Mark A. Girolami
4. M. Giles
5. Lukasz Szpruch
6. Steffen Dereich
7. Raphael Kruse
8. Lukasz Szpruch

In Ocean Engineering

1. M. Giles

Citations in the corpus

• Control functionals for Monte Carlo integration (2014, background): “Our starting point is to establish a trade-off between random sampling and deterministic approximation, as suggested on several separate occasions by researchers including Bakhvalov (1959), Heinrich (1995), Speight (2009) and Giles (2013).”
• Improved Multilevel Monte Carlo Convergence using the Milstein Scheme (2008, methodology): “This multilevel approach is related to the two-level method of Kebaier [Keb05], and is similar to the multi-level method proposed by Speight [Spe05] based on the quasi control variate method of Emsermann and Simon [ES02].”