MVEX01-16-15 Multilevel Monte Carlo: an efficient Monte Carlo method

​In applications such as finance and engineering, it is common to have uncertainties in the problems which can for example be due to lack of knowledge, measurement errors, or noise in the system. Therefore problems are frequently modelled with a random component. Since theoretical results are just rarely available, quantities of interest such as mean values and variances have to be simulated. In this project we will use Monte Carlo methods to simulate expected values and consider the convergence of the estimators. We will observe the computational complexity of the problem and compare it to the relatively recent and more efficient multilevel Monte Carlo estimators.

Obs! För GU-studenter räknas projektet som ett projekt i Matematisk Statistik (MSG900/MSG910).
 
Projektkod MVEX01-16-14
Gruppstorlek 3-4
Förkunskaper: basic knowledge in probability theory and a scientific programming language such as for example matlab or R
Handledare Annika Lang, 031-7725356 , annika.lang@chalmers.se
Examinator Maria Roginskaya
Institution Matematiska vetenskaper

Publicerad: on 28 okt 2015. Ändrad: må 04 jun 2018