Unbiased multi-index Monte Carlo

DOI10.1080/07362994.2017.1394880zbMath1386.65017arXiv1702.03057OpenAlexW2963412251MaRDI QIDQ4639168

Jeremie Houssineau, Ajay Jasra, Pierre Del Moral, Dan Crisan

Publication date: 3 May 2018

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1702.03057

zbMATH Keywords

smoothingMonte Carlounbiasednessmulti-index discretization

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Monte Carlo methods (65C05) PDEs with randomness, stochastic partial differential equations (35R60)

Related Items

Multilevel Monte Carlo for Smoothing via Transport Methods ⋮ Advanced Multilevel Monte Carlo Methods ⋮ Multi-index antithetic stochastic gradient algorithm

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