Multi-index Monte Carlo: when sparsity meets sampling

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...

Bibliográfalaš dieđut
Váldodahkkit:	Haji-Ali, A, Nobile, F, Tempone, R
Materiálatiipa:	Journal article
Almmustuhtton:	Springer 2015

Geahča maid

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