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MULTI-INDEX MONTE CARLO METHOD

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：sdausunyu

【摘 要】

：

We propose and analyze a novel Multi-Index Monte Carlo(MIMC)method for weak approximation of stochastic PDE models,that uses highorder mixed differences to achieve variance reduction,as opposed to fir

【作 者】

：

Haji Ali Abdul Lateef Nobile Fabio TEMPONE RAUL 

【机 构】

：

KAUST MATHICSE-EPFL

【出 处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年5期

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论文部分内容阅读

　　We propose and analyze a novel Multi-Index Monte Carlo(MIMC)method for weak approximation of stochastic PDE models,that uses highorder mixed differences to achieve variance reduction,as opposed to firstorder differences as in Multi Level Monte Carlo(MLMC).

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