The Multi-Level Monte Carlo Technique for Approximation of Distribution Functions and an Application to AF4 By Prof. Klaus Ritter (Technische Universität Kaiserslautern, Germany) Prof. Klaus Ritter, Technische Universität Kaiserslautern Sep 16, 15:00 - 16:00 B1 R4214 The multi-level Monte Carlo approach is a powerful variance reduction technique, which is applied, in particular, in the context of SDEs. While the standard task is to compute the expectation of a real-valued functional, we discuss how to approximate a distribution function on a compact interval. In this talk, we establish upper bounds for the error of suitable multi-level algorithms.
