Multi-index Monte Carlo: when sparsity meets sampling (Q264116)

The authors propose and analyse 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 uses a stochastic combination technique to solve the given approximation problem, generalising the notion of standard multilevel Monte Carlo levels into a set of multi-indices that should be properly chosen to exploit the available regularity. Numerical results are presented to substantiate some of the derived computational complexity rates.