Multi-index Monte Carlo: when sparsity meets sampling

Multilevel hybrid Chernoff tau-leap

(2015) Alvaro Moraes et al.   BIT NUMERICAL MATHEMATICS

A continuation multilevel Monte Carlo algorithm

(2014) Nathan Collier et al.   BIT NUMERICAL MATHEMATICS

Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients

(2013) A. L. Teckentrup et al.   NUMERISCHE MATHEMATIK

Finite Element Error Analysis of Elliptic PDEs with Random Coefficients and Its Application to Multilevel Monte Carlo Methods

(2013) J. Charrier et al.   SIAM JOURNAL ON NUMERICAL ANALYSIS

Sparse tensor multi-level Monte Carlo finite volume methods for hyperbolic conservation laws with random initial data

(2012) S. Mishra et al.   MATHEMATICS OF COMPUTATION

Quasi-Monte Carlo Finite Element Methods for a Class of Elliptic Partial Differential Equations with Random Coefficients

(2012) Frances Y. Kuo et al.   SIAM JOURNAL ON NUMERICAL ANALYSIS

Stochastic Finite Differences and Multilevel Monte Carlo for a Class of SPDEs in Finance

(2012) Michael B. Giles et al.   SIAM Journal on Financial Mathematics

Multi-level Monte Carlo Finite Element method for elliptic PDEs with stochastic coefficients

(2011) Andrea Barth et al.   NUMERISCHE MATHEMATIK

A Stochastic Collocation Method for Elliptic Partial Differential Equations with Random Input Data

(2010) Ivo Babuška et al.   SIAM REVIEW

Multilevel Monte Carlo Path Simulation

(2008) Michael B. Giles   OPERATIONS RESEARCH