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...
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| Format: | Journal article |
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Global Science Press
2017
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