working paper

MATHICSE Technical Report : Multi index Monte Carlo: when sparsity meets sampling

Haji Ali, Abdul Lateef  
•
Nobile, Fabio  
•
Tempone, Raúl
June 17, 2014
Type
working paper
DOI
10.5075/epfl-MATHICSE-263226
Author(s)
Haji Ali, Abdul Lateef  
Nobile, Fabio  
Tempone, Raúl
Corporate authors
MATHICSE-Group
Date Issued

2014-06-17

Publisher

MATHICSE

Subjects

Multilevel Monte Carlo

•

Monte Carlo

•

Partial Differential Equations with random data

•

Stochastic Differential Equations

•

Weak Approximation

•

Sparse Approximation

•

Combination technique

Note

MATHICSE Technical Report Nr. 26.2014 June 2014

Written at

EPFL

EPFL units
CSQI  
RelationURL/DOI

IsPreviousVersionOf

https://infoscience.epfl.ch/record/199756
Available on Infoscience
January 22, 2019
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/153706