Publication Information

{'id': 'https://openalex.org/W622665824', 'doi': None, 'title': 'Estimating expected first passage times using multilevel Monte Carlo algorithm', 'display_name': 'Estimating expected first passage times using multilevel Monte Carlo algorithm', 'publication_year': 2011, 'publication_date': '2011-06-24', 'ids': {'openalex': 'https://openalex.org/W622665824', 'mag': '622665824'}, 'language': 'en', 'primary_location': {'is_oa': False, 'landing_page_url': 'https://ora.ox.ac.uk/objects/uuid%3Aa0ed6441-7f5f-4623-927e-0225c9b5c19c', 'pdf_url': None, 'source': None, 'license': None, 'license_id': None, 'version': None, 'is_accepted': False, 'is_published': False}, 'type': 'dissertation', 'type_crossref': 'dissertation', 'indexed_in': [], 'open_access': {'is_oa': False, 'oa_status': 'closed', 'oa_url': None, 'any_repository_has_fulltext': False}, 'authorships': [{'author_position': 'first', 'author': {'id': 'https://openalex.org/A5057564354', 'display_name': 'Tom Primozic', 'orcid': None}, 'institutions': [], 'countries': [], 'is_corresponding': True, 'raw_author_name': 'Tom Primozic', 'raw_affiliation_strings': [], 'affiliations': []}], 'institution_assertions': [], 'countries_distinct_count': 0, 'institutions_distinct_count': 0, 'corresponding_author_ids': ['https://openalex.org/A5057564354'], 'corresponding_institution_ids': [], 'apc_list': None, 'apc_paid': None, 'fwci': None, 'has_fulltext': False, 'cited_by_count': 13, 'citation_normalized_percentile': {'value': 0.985714, 'is_in_top_1_percent': False, 'is_in_top_10_percent': True}, 'cited_by_percentile_year': {'min': 86, 'max': 87}, 'biblio': {'volume': None, 'issue': None, 'first_page': None, 'last_page': None}, 'is_retracted': False, 'is_paratext': False, 'primary_topic': {'id': 'https://openalex.org/T10067', 'display_name': 'Stochastic processes and financial applications', 'score': 0.9993, 'subfield': {'id': 'https://openalex.org/subfields/2003', 'display_name': 'Finance'}, 'field': {'id': 'https://openalex.org/fields/20', 'display_name': 'Economics, Econometrics and Finance'}, 'domain': {'id': 'https://openalex.org/domains/2', 'display_name': 'Social Sciences'}}, 'topics': [{'id': 'https://openalex.org/T10067', 'display_name': 'Stochastic processes and financial applications', 'score': 0.9993, 'subfield': {'id': 'https://openalex.org/subfields/2003', 'display_name': 'Finance'}, 'field': {'id': 'https://openalex.org/fields/20', 'display_name': 'Economics, Econometrics and Finance'}, 'domain': {'id': 'https://openalex.org/domains/2', 'display_name': 'Social Sciences'}}, {'id': 'https://openalex.org/T10007', 'display_name': 'Monetary Policy and Economic Impact', 'score': 0.9808, 'subfield': {'id': 'https://openalex.org/subfields/2000', 'display_name': 'General Economics, Econometrics and Finance'}, 'field': {'id': 'https://openalex.org/fields/20', 'display_name': 'Economics, Econometrics and Finance'}, 'domain': {'id': 'https://openalex.org/domains/2', 'display_name': 'Social Sciences'}}, {'id': 'https://openalex.org/T10282', 'display_name': 'Financial Risk and Volatility Modeling', 'score': 0.9779, 'subfield': {'id': 'https://openalex.org/subfields/2003', 'display_name': 'Finance'}, 'field': {'id': 'https://openalex.org/fields/20', 'display_name': 'Economics, Econometrics and Finance'}, 'domain': {'id': 'https://openalex.org/domains/2', 'display_name': 'Social Sciences'}}], 'keywords': [{'id': 'https://openalex.org/keywords/variance-reduction', 'display_name': 'Variance reduction', 'score': 0.7968738}, {'id': 'https://openalex.org/keywords/monte-carlo-integration', 'display_name': 'Monte Carlo integration', 'score': 0.6344051}, {'id': 'https://openalex.org/keywords/quasi-monte-carlo-method', 'display_name': 'Quasi-Monte Carlo method', 'score': 0.57075477}, {'id': 'https://openalex.org/keywords/monte-carlo-algorithm', 'display_name': 'Monte Carlo algorithm', 'score': 0.42214888}], 'concepts': [{'id': 'https://openalex.org/C19499675', 'wikidata': 'https://www.wikidata.org/wiki/Q232207', 'display_name': 'Monte Carlo method', 'level': 2, 'score': 0.84436214}, {'id': 'https://openalex.org/C62644790', 'wikidata': 'https://www.wikidata.org/wiki/Q3454689', 'display_name': 'Variance reduction', 'level': 3, 'score': 0.7968738}, {'id': 'https://openalex.org/C132725507', 'wikidata': 'https://www.wikidata.org/wiki/Q39879', 'display_name': 'Monte Carlo integration', 'level': 5, 'score': 0.6344051}, {'id': 'https://openalex.org/C13153151', 'wikidata': 'https://www.wikidata.org/wiki/Q1639846', 'display_name': 'Hybrid Monte Carlo', 'level': 4, 'score': 0.6307949}, {'id': 'https://openalex.org/C63320529', 'wikidata': 'https://www.wikidata.org/wiki/Q7269435', 'display_name': 'Quasi-Monte Carlo method', 'level': 5, 'score': 0.57075477}, {'id': 'https://openalex.org/C11413529', 'wikidata': 'https://www.wikidata.org/wiki/Q8366', 'display_name': 'Algorithm', 'level': 1, 'score': 0.5457432}, {'id': 'https://openalex.org/C122592724', 'wikidata': 'https://www.wikidata.org/wiki/Q3855635', 'display_name': 'Dynamic Monte Carlo method', 'level': 3, 'score': 0.46571946}, {'id': 'https://openalex.org/C126255220', 'wikidata': 'https://www.wikidata.org/wiki/Q141495', 'display_name': 'Mathematical optimization', 'level': 1, 'score': 0.4558718}, {'id': 'https://openalex.org/C73000952', 'wikidata': 'https://www.wikidata.org/wiki/Q17007827', 'display_name': 'Discretization', 'level': 2, 'score': 0.4554997}, {'id': 'https://openalex.org/C37669827', 'wikidata': 'https://www.wikidata.org/wiki/Q6904703', 'display_name': 'Monte Carlo molecular modeling', 'level': 4, 'score': 0.44831023}, {'id': 'https://openalex.org/C204493344', 'wikidata': 'https://www.wikidata.org/wiki/Q6904698', 'display_name': 'Monte Carlo method in statistical physics', 'level': 5, 'score': 0.4457906}, {'id': 'https://openalex.org/C33923547', 'wikidata': 'https://www.wikidata.org/wiki/Q395', 'display_name': 'Mathematics', 'level': 0, 'score': 0.43133903}, {'id': 'https://openalex.org/C196083921', 'wikidata': 'https://www.wikidata.org/wiki/Q7915758', 'display_name': 'Variance (accounting)', 'level': 2, 'score': 0.42609397}, {'id': 'https://openalex.org/C41008148', 'wikidata': 'https://www.wikidata.org/wiki/Q21198', 'display_name': 'Computer science', 'level': 0, 'score': 0.42406955}, {'id': 'https://openalex.org/C111350023', 'wikidata': 'https://www.wikidata.org/wiki/Q1191869', 'display_name': 'Markov chain Monte Carlo', 'level': 3, 'score': 0.42361635}, {'id': 'https://openalex.org/C15482360', 'wikidata': 'https://www.wikidata.org/wiki/Q15238499', 'display_name': 'Monte Carlo algorithm', 'level': 3, 'score': 0.42214888}, {'id': 'https://openalex.org/C28826006', 'wikidata': 'https://www.wikidata.org/wiki/Q33521', 'display_name': 'Applied mathematics', 'level': 1, 'score': 0.40920627}, {'id': 'https://openalex.org/C105795698', 'wikidata': 'https://www.wikidata.org/wiki/Q12483', 'display_name': 'Statistics', 'level': 1, 'score': 0.15867788}, {'id': 'https://openalex.org/C134306372', 'wikidata': 'https://www.wikidata.org/wiki/Q7754', 'display_name': 'Mathematical analysis', 'level': 1, 'score': 0.062316}, {'id': 'https://openalex.org/C121955636', 'wikidata': 'https://www.wikidata.org/wiki/Q4116214', 'display_name': 'Accounting', 'level': 1, 'score': 0.0}, {'id': 'https://openalex.org/C144133560', 'wikidata': 'https://www.wikidata.org/wiki/Q4830453', 'display_name': 'Business', 'level': 0, 'score': 0.0}], 'mesh': [], 'locations_count': 1, 'locations': [{'is_oa': False, 'landing_page_url': 'https://ora.ox.ac.uk/objects/uuid%3Aa0ed6441-7f5f-4623-927e-0225c9b5c19c', 'pdf_url': None, 'source': None, 'license': None, 'license_id': None, 'version': None, 'is_accepted': False, 'is_published': False}], 'best_oa_location': None, 'sustainable_development_goals': [{'id': 'https://metadata.un.org/sdg/7', 'score': 0.55, 'display_name': 'Affordable and clean energy'}], 'grants': [], 'datasets': [], 'versions': [], 'referenced_works_count': 12, 'referenced_works': ['https://openalex.org/W1575104486', 'https://openalex.org/W1602773783', 'https://openalex.org/W1968094130', 'https://openalex.org/W1971286834', 'https://openalex.org/W2002697793', 'https://openalex.org/W2008148719', 'https://openalex.org/W2018995398', 'https://openalex.org/W2099653969', 'https://openalex.org/W2142368463', 'https://openalex.org/W2152828142', 'https://openalex.org/W2163715525', 'https://openalex.org/W3106070122'], 'related_works': ['https://openalex.org/W3203728798', 'https://openalex.org/W3181305746', 'https://openalex.org/W3125885078', 'https://openalex.org/W3100675551', 'https://openalex.org/W3081732379', 'https://openalex.org/W2910496157', 'https://openalex.org/W2786235546', 'https://openalex.org/W2488808872', 'https://openalex.org/W24418085', 'https://openalex.org/W2274168723', 'https://openalex.org/W2217072212', 'https://openalex.org/W2163715525', 'https://openalex.org/W2089556301', 'https://openalex.org/W2076438971', 'https://openalex.org/W2052920959', 'https://openalex.org/W2050871708', 'https://openalex.org/W2042886091', 'https://openalex.org/W2028323834', 'https://openalex.org/W1597861226', 'https://openalex.org/W1506714573'], 'abstract_inverted_index': {'In': [0], 'this': [1], 'paper': [2], 'we': [3, 52], 'devise': [4], 'a': [5], 'method': [6], 'of': [7, 15, 32, 42], 'numerically': [8], 'estimating': [9], 'the': [10, 30, 40, 43, 54], 'expected': [11, 45], 'first': [12], 'passage': [13], 'times': [14], 'stochastic': [16, 34], 'processes.': [17], 'We': [18], 'use': [19, 53], 'Monte': [20, 56, 76], 'Carlo': [21, 57, 77], 'path': [22], 'simulations': [23], 'with': [24], 'Milstein': [25], 'discretisation': [26], 'scheme': [27], 'to': [28], 'approximate': [29], 'solutions': [31], 'scalar': [33], 'differential': [35], 'equations.': [36], 'To': [37], 'further': [38], 'reduce': [39], 'variance': [41], 'estimated': [44], 'stopping': [46], 'time': [47], 'and': [48, 64], 'improve': [49], 'computational': [50], 'efficiency,': [51], 'multi-level': [55], 'algorithm,': [58], 'recently': [59], 'developed': [60], 'by': [61], 'Giles': [62], '(2008a),': [63], 'other': [65], 'variance-reduction': [66], 'techniques.': [67, 78], 'Our': [68], 'numerical': [69], 'results': [70], 'show': [71], 'significant': [72], 'improvements': [73], 'over': [74], 'conventional': [75]}, 'cited_by_api_url': 'https://api.openalex.org/works?filter=cites:W622665824', 'counts_by_year': [{'year': 2023, 'cited_by_count': 1}, {'year': 2021, 'cited_by_count': 1}, {'year': 2018, 'cited_by_count': 1}, {'year': 2017, 'cited_by_count': 5}, {'year': 2015, 'cited_by_count': 1}, {'year': 2013, 'cited_by_count': 3}], 'updated_date': '2024-12-22T02:03:53.212479', 'created_date': '2016-06-24'}