M.B. Giles, D.J. Higham and X. Mao. 'Analysing multilevel Monte Carlo for options
with non-globally Lipschitz payoff'. Finance and Stochastics, 13(3):403-413, 2009.
(PDF)
M.B. Giles. `Improved multilevel Monte Carlo convergence using the
Milstein scheme'. pp.343-358, in Monte Carlo and Quasi-Monte Carlo Methods 2006,
Springer, 2008. (PDF)
M.B. Giles, K. Debrabant, A. Roessler. 'Numerical analysis of multilevel Monte Carlo path simulation using the Milstein discretisation', ArXiv preprint, 2013.
(PDF)
M.B. Giles, L. Szpruch. 'Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation', Annals of Applied Probability, 24(4):1585-1620, 2014.
(PDF)
K.A. Cliffe, M.B. Giles, R. Scheichl, A.L. Teckentrup,
'Multilevel Monte Carlo Methods and Applications to Elliptic PDEs
with Random Coefficients',
Computing and Visualization in Science, 14(1):3-15, 2011.
(PDF)
D.J. Higham. 'Mean-square and asymptotic stability of the stochastic theta method',
SIAM Journal of Numerical Analysis, 38(3):753-769, 2000.
(PDF)
M.B. Giles, C. Reisinger. 'Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance', SIAM Journal of Financial Mathematics, 3(1):572-592, 2012.
(PDF)