Analysis of multi-index Monte Carlo estimators for a Zakai SPDE

Analysis of multi-index Monte Carlo estimators for a Zakai SPDE

In this article, we propose a space-time Multi-Index Monte Carlo (MIMC) estimator for a onedimensional parabolic stochastic partial differential equation (SPDE) of Zakai type. We compare the complexity with the Multilevel Monte Carlo (MLMC) method of Giles and Reisinger (2012), and find, by means of...

書目詳細資料
Main Authors:	Reisinger, C, Wang, Z
格式:	Journal article
出版:	Global Science Press 2017

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