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

MATHICSE-GroupHaji Ali, Abdul LateefNobile, FabioTempone, Raúl2019-01-222019-01-222019-01-222014-06-1710.5075/epfl-MATHICSE-263226https://infoscience.epfl.ch/handle/20.500.14299/153706Multilevel Monte CarloMonte CarloPartial Differential Equations with random dataStochastic Differential EquationsWeak ApproximationSparse ApproximationCombination techniqueMATHICSE Technical Report : Multi index Monte Carlo: when sparsity meets samplingtext::working paper