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Convergence analysis of multilevel Monte Carlo variance estimators and application for random obstacle problems.
Claudio Bierig
Alexey Chernov
Published in:
Numerische Mathematik (2015)
Keyphrases
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monte carlo
variance reduction
convergence analysis
monte carlo methods
monte carlo simulation
markov chain
monte carlo tree search
optimality conditions
global convergence
upper bound
convergence speed
temporal difference
importance sampling