Multilevel Monte Carlo codes for 2015 Acta Numerica article

My 2015 Acta Numerica article on Multilevel Monte Carlo Methods is available here.

To accompany this article, I developed a number of MATLAB codes to illustrate how the mathematical ideas translate into code. These are presented below, but I would recommend that anyone interested in getting into MLMC application development should use my new MLMC software which is available here.

The advantages of the new software are: but for archival purposes I will leave the old software below.



Generic routines:
MLMC application codes producing figures for the paper: To run the first of these, for example, simply download the file and the generic routines above, and then enter the command "gbm_euler" into MATLAB -- internally it will use both mlmc.m and mlmc_test.m

Additional MLMC application codes:


For further reading on multilevel Monte Carlo research: