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Multilevel Monte Carlo (MLMC) and unbiased estimators recently proposed by McLeish (Monte Carlo Methods Appl., 2011) and Rhee and Glynn (Oper.
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Comparison of resampling schemes for particle filtering
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Fast stong approximation Monte Carlo schemes for stochastic volatility models
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Stochastic Approximation: A Dynamical Systems Viewpoint
V. S. Borkar · 2008
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Multilevel Monte Carlo path simulation
M. B. Giles · 2008
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Multilevel quasi-Monte Carlo path simulation
M. B. Giles and B. J. Waterhouse · 2009
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Pathwise approximation of stochastic differential equations on domains: higher order convergence rates without global lipschitz coefficients
A. Jentzen, P. E. Kloeden, and A. Neuenkirch · 2009
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A general method for debiasing a Monte Carlo estimator
D. McLeish · 2011
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General multilevel adaptations for stochastic approximation algorithms
S. Dereich and T. Mueller-Gronbach · 2015
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Multilevel Monte Carlo methods
M. B. Giles · 2015
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Perfect Simulation
M. L. Huber · 2015
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On nonnegative unbiased estimators
P. E. Jacob and A. H. Thiery · 2015
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Coupling importance sampling and multilevel Monte Carlo using sample average approximation
A. Kebaier and J. Lelong · 2015
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On Russian roulette estimates for Bayesian inference with doubly-intractable likelihoods
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Unbiased estimation with square root convergence for SDE models
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