Multi-index Monte Carlo: when sparsity meets sampling

Abdul-Lateef Haji-Ali, Fabio Nobile, Raúl Tempone. Multi-index Monte Carlo: when sparsity meets sampling. Numerische Mathematik, 132(4):767-806, 2016. [doi]

Authors

Abdul-Lateef Haji-Ali

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Fabio Nobile

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Raúl Tempone

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