Multi-index Monte Carlo: when sparsity meets sampling
We propose and analyze a novel multi-index Monte Carlo (MIMC) method for weak approximation of stochastic models that are described in terms of differential equations either driven by random measures or with random coefficients. The MIMC method is both a stochastic version of the combination techniq...
| Auteurs principaux: | , , |
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| Format: | Journal article |
| Publié: |
Springer
2015
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