T:A:L:K:S

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title:
Multi-level Monte Carlo Smoothing for Approximation of Densities
name:
Ritter
first name:
Klaus
location/conference:
RDSN14
abstract:
We discuss how to employ the multi-level technique
for approximation of distribution function or density
on a compact interval, and we sketch
an application to asymmetric
flow field flow fractionation ($\mathrm{AF}^4$),
which is a process engineering technique for
the separation of nano particles. Mathematically,
this leads to the study of exit times of reflected diffusions.

Joint work with
Mike Giles (Oxford Univ.)
and
Tigran Nagapetyan (Fraunhofer ITWM, Kaiserslautern).