Special Seminar in Applied Mathematics

Tuesday May 21, 2013 4:00 PM

Multilevel Monte Carlo Method

Speaker: Mike Giles, University of Oxford
Location: Annenberg 105

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.

Series Special Seminars in Applied Mathematics

Contact: Sydney Garstang at x4555 sydney@caltech.edu
For more information visit: http://www.acm.caltech.edu