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02/16/2021
Analysis of nested multilevel Monte Carlo using approximate Normal random variables
The multilevel Monte Carlo (MLMC) method has been used for a wide variet...
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05/25/2020
Importance Sampling for Pathwise Sensitivity of Stochastic Chaotic Systems
This paper proposes a new pathwise sensitivity estimator for chaotic SDE...
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10/04/2019
GPU Fast Convolution via the Overlap-and-Save Method in Shared Memory
We present an implementation of the overlap-and-save method, a method fo...
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09/15/2016