Publications

Preprints

1. Haji-Ali, A.-L., Hoel, H., & Petersson, A. (2025). The multi-index Monte Carlo method for semilinear stochastic partial differential equations. https://doi.org/10.48550/arxiv.2502.00393
   CitationHaji-Ali, A.-L., Hoel, H., & Petersson, A. (2025). The multi-index Monte Carlo method for semilinear stochastic partial differential equations. https://doi.org/10.48550/arxiv.2502.00393 BibTeX

   @misc{hajiali:mimc-SPDE,
     title = {The multi-index Monte Carlo method for semilinear stochastic
                       partial differential equations},
     author = {Haji-Ali, Abdul-Lateef and Hoel, Håkon and Petersson, Andreas},
     year = {2025},
     eprint = {2502.00393},
     archiveprefix = {arXiv},
     primaryclass = {math.NA},
     doi = {10.48550/arxiv.2502.00393}
   }
   

2. Haji-Ali, A.-L., Pereyra, M., Shaw, L., & Zygalakis, K. (2024). Bayesian computation with generative diffusion models by Multilevel Monte Carlo. https://doi.org/10.48550/arxiv.2409.15511
   CitationHaji-Ali, A.-L., Pereyra, M., Shaw, L., & Zygalakis, K. (2024). Bayesian computation with generative diffusion models by Multilevel Monte Carlo. https://doi.org/10.48550/arxiv.2409.15511 BibTeX

   @misc{hajiali:mlmc-for-DM,
     title = {Bayesian computation with generative diffusion models by Multilevel Monte Carlo},
     author = {Haji-Ali, Abdul-Lateef and Pereyra, Marcelo and Shaw, Luke and Zygalakis, Konstantinos},
     author+an = {3=corresponding},
     year = {2024},
     eprint = {2409.15511},
     archiveprefix = {arXiv},
     primaryclass = {stat.CO},
     doi = {10.48550/arxiv.2409.15511}
   }
   

3. Rached, N. B., Haji-Ali, A.-L., Tempone, R., & Wilkosz, L. (2024). Forward Propagation of Low Discrepancy Through McKean-Vlasov Dynamics: From QMC to MLQMC. https://doi.org/10.48550/arxiv.2409.09821
   CitationRached, N. B., Haji-Ali, A.-L., Tempone, R., & Wilkosz, L. (2024). Forward Propagation of Low Discrepancy Through McKean-Vlasov Dynamics: From QMC to MLQMC. https://doi.org/10.48550/arxiv.2409.09821 BibTeX

   @misc{wilkosz:qmc-mckean-vlasov,
     title = {Forward Propagation of Low Discrepancy Through McKean-Vlasov Dynamics: From QMC to MLQMC},
     author = {Rached, Nadhir Ben and Haji-Ali, Abdul-Lateef and Tempone, Ra{\'u}l and Wilkosz, Leon},
     year = {2024},
     eprint = {2409.09821},
     archiveprefix = {arXiv},
     primaryclass = {math.NA},
     doi = {10.48550/arxiv.2409.09821}
   }
   

4. Haji-Ali, A.-L., & Stein, A. (2023). An Antithetic Multilevel Monte Carlo-Milstein Scheme for Stochastic Partial Differential Equations. https://doi.org/10.48550/arxiv.2307.14169
   CitationHaji-Ali, A.-L., & Stein, A. (2023). An Antithetic Multilevel Monte Carlo-Milstein Scheme for Stochastic Partial Differential Equations. https://doi.org/10.48550/arxiv.2307.14169 BibTeX

   @misc{hajiali:antithetic-spde,
     title = {An Antithetic Multilevel Monte Carlo-Milstein Scheme for Stochastic Partial Differential Equations},
     author = {Haji-Ali, Abdul-Lateef and Stein, Andreas},
     author+an = {1=corresponding},
     doi = {10.48550/arxiv.2307.14169},
     eprint = {2307.14169},
     archiveprefix = {arXiv},
     primaryclass = {math.NA},
     year = {2023}
   }
   

5. Giles, M. B., Haji-Ali, A.-L., & Spence, J. (2023). Efficient Risk Estimation for the Credit Valuation Adjustment. https://doi.org/10.48550/arxiv.2301.05886
   CitationGiles, M. B., Haji-Ali, A.-L., & Spence, J. (2023). Efficient Risk Estimation for the Credit Valuation Adjustment. https://doi.org/10.48550/arxiv.2301.05886 BibTeX

   @misc{giles:cva,
     title = {Efficient Risk Estimation for the Credit Valuation Adjustment},
     author = {Giles, Michael B and Haji-Ali, Abdul-Lateef and Spence, Jonathan},
     author+an = {3=corresponding},
     doi = {10.48550/arxiv.2301.05886},
     year = {2023},
     eprint = {2301.05886},
     archiveprefix = {arXiv},
     primaryclass = {q-fin.CP}
   }
   

6. Haji-Ali, A.-L., Hoel, H., & Tempone, R. (2023). Weak convergence analysis in the particle limit of the McKean–Vlasov equations using stochastic flows of particle systems. https://doi.org/10.48550/arxiv.2101.00886
   CitationHaji-Ali, A.-L., Hoel, H., & Tempone, R. (2023). Weak convergence analysis in the particle limit of the McKean–Vlasov equations using stochastic flows of particle systems. https://doi.org/10.48550/arxiv.2101.00886 BibTeX

   @misc{haji:particle-proofs,
     title = {Weak convergence analysis in the particle limit of the
                       McKean--Vlasov equations using stochastic flows of particle
                       systems},
     author = {Haji-Ali, Abdul-Lateef and Hoel, H{\aa}kon and Tempone, Ra{\'u}l},
     author+an = {1=corresponding},
     year = {2023},
     privatenote = {Submitted to IMA Journal of Applied Mathematics, IMAMAT-2023-142},
     eprint = {2101.00886},
     archiveprefix = {arXiv},
     doi = {10.48550/arxiv.2101.00886},
     primaryclass = {math.PR}
   }
   

7. Rached, N. B., Haji-Ali, A.-L., Pillai, S. M. S., & Tempone, R. (2023). Multi-index Importance Sampling for McKean-Vlasov Stochastic Differential Equation. https://doi.org/10.48550/arxiv.2307.05149
   CitationRached, N. B., Haji-Ali, A.-L., Pillai, S. M. S., & Tempone, R. (2023). Multi-index Importance Sampling for McKean-Vlasov Stochastic Differential Equation. https://doi.org/10.48550/arxiv.2307.05149 BibTeX

   @misc{ben.rached:mimc-importance-mksde,
     title = {Multi-index Importance Sampling for McKean-Vlasov Stochastic Differential Equation},
     author = {Rached, Nadhir Ben and Haji-Ali, Abdul-Lateef and Pillai, Shyam Mohan Subbiah and Tempone, Ra{\'u}l},
     year = {2023},
     eprint = {2307.05149},
     archiveprefix = {arXiv},
     primaryclass = {math.NA},
     doi = {10.48550/arxiv.2307.05149}
   }
   

2024

1. Rached, N. B., Haji-Ali, A.-L., Shyam, M., & Tempone, R. (2024). Multilevel Importance Sampling for McKean-Vlasov Stochastic Differential Equation. Statistics and Computing, 35(1), 1. https://doi.org/10.1007/s11222-024-10508-3
   CitationRached, N. B., Haji-Ali, A.-L., Shyam, M., & Tempone, R. (2024). Multilevel Importance Sampling for McKean-Vlasov Stochastic Differential Equation. Statistics and Computing, 35(1), 1. https://doi.org/10.1007/s11222-024-10508-3 BibTeX

   @article{ben.rached:mlmc-importance-mksde,
     title = {Multilevel Importance Sampling for {McKean-Vlasov} Stochastic Differential Equation},
     author = {Rached, Nadhir Ben and Haji-Ali, Abdul-Lateef and Shyam, Mohan and Tempone, Ra{\'u}l},
     author+an = {3=corresponding},
     doi = {10.1007/s11222-024-10508-3},
     year = {2024},
     journal = {Statistics and Computing},
     month = nov,
     day = {15},
     volume = {35},
     number = {1},
     pages = {1},
     issn = {1573-1375}
   }
   

2. Ben Rached, N., Haji-Ali, A.-L., Subbiah Pillai, S. M., & Tempone, R. (2024). Double-loop importance sampling for McKean–Vlasov stochastic differential equation. Statistics and Computing, 34(6), 1–25. https://doi.org/10.1007/s11222-024-10497-3
   CitationBen Rached, N., Haji-Ali, A.-L., Subbiah Pillai, S. M., & Tempone, R. (2024). Double-loop importance sampling for McKean–Vlasov stochastic differential equation. Statistics and Computing, 34(6), 1–25. https://doi.org/10.1007/s11222-024-10497-3 BibTeX

   @article{ben.rached:sl-importance-mksde,
     title = {Double-loop importance sampling for McKean--Vlasov stochastic differential equation},
     author = {Ben Rached, Nadhir and Haji-Ali, Abdul-Lateef and Subbiah Pillai, Shyam Mohan and Tempone, Ra{\'u}l},
     journal = {Statistics and Computing},
     volume = {34},
     number = {6},
     pages = {1--25},
     year = {2024},
     doi = {10.1007/s11222-024-10497-3},
     publisher = {Springer}
   }
   

3. Giles, M. B., & Haji-Ali, A.-L. (2024). Multilevel Path Branching for Digital Options. Annals of Applied Probability, 34(5), 4836–4862. https://doi.org/10.1214/24-AAP2083
   CitationGiles, M. B., & Haji-Ali, A.-L. (2024). Multilevel Path Branching for Digital Options. Annals of Applied Probability, 34(5), 4836–4862. https://doi.org/10.1214/24-AAP2083 BibTeX

   @article{giles:path-branching,
     title = {Multilevel Path Branching for Digital Options},
     author = {Giles, Michael B. and Haji-Ali, Abdul-Lateef},
     author+an = {2=corresponding},
     doi = {10.1214/24-AAP2083},
     journal = {Annals of Applied Probability},
     year = {2024},
     volume = {34},
     number = {5},
     pages = {4836-4862},
     issn = {1050-5164},
     sici = {1050-5164(2024)34:5<4836:MPBFDO>2.0.CO;2-Y}
   }
   

2023

1. Ben Amar, E., Ben Rached, N., Haji-Ali, A.-L., & Tempone, R. (2023). State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables. Statistics and Computing, 33(2). https://doi.org/10.1007/s11222-022-10202-2
   CitationBen Amar, E., Ben Rached, N., Haji-Ali, A.-L., & Tempone, R. (2023). State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables. Statistics and Computing, 33(2). https://doi.org/10.1007/s11222-022-10202-2 BibTeX

   @article{amar:is-soc,
     title = {State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables},
     author = {Ben Amar, Eya and Ben Rached, Nadhir and Haji-Ali, Abdul-Lateef and Tempone, Ra\'ul},
     author+an = {1=corresponding},
     doi = {10.1007/s11222-022-10202-2},
     issn = {0960-3174, 1573-1375},
     journal = {Statistics and Computing},
     month = feb,
     number = {2},
     publisher = {Springer Science and Business Media LLC},
     source = {Crossref},
     volume = {33},
     year = {2023}
   }
   

2022

1. Giles, M. B., & Haji-Ali, A.-L. (2022). Subsampling and other considerations for efficient risk estimation in large portfolios. Journal of Computational Finance, 26(1). https://doi.org/10.21314/jcf.2022.019
   CitationGiles, M. B., & Haji-Ali, A.-L. (2022). Subsampling and other considerations for efficient risk estimation in large portfolios. Journal of Computational Finance, 26(1). https://doi.org/10.21314/jcf.2022.019 BibTeX

   @article{giles:subsampling,
     title = {Subsampling and other considerations for efficient risk estimation in large portfolios},
     author = {Giles, Michael B. and Haji-Ali, Abdul-Lateef},
     author+an = {2=corresponding},
     doi = {10.21314/jcf.2022.019},
     issn = {1460-1559, 1755-2850},
     journal = {Journal of Computational Finance},
     month = jun,
     number = {1},
     publisher = {Infopro Digital Services Limited},
     source = {Crossref},
     volume = {26},
     year = {2022}
   }
   

2. Haji-Ali, A.-L., Spence, J., & Teckentrup, A. L. (2022). Adaptive Multilevel Monte Carlo for Probabilities. SIAM Journal on Numerical Analysis, 60(4), 2125–2149. https://doi.org/10.1137/21m1447064
   CitationHaji-Ali, A.-L., Spence, J., & Teckentrup, A. L. (2022). Adaptive Multilevel Monte Carlo for Probabilities. SIAM Journal on Numerical Analysis, 60(4), 2125–2149. https://doi.org/10.1137/21m1447064 BibTeX

   @article{hajiali:adaptive,
     title = {Adaptive Multilevel {Monte} {Carlo} for Probabilities},
     author = {Haji-Ali, Abdul-Lateef and Spence, Jonathan and Teckentrup, Aretha L.},
     author+an = {2=corresponding},
     doi = {10.1137/21m1447064},
     issn = {0036-1429, 1095-7170},
     journal = {SIAM Journal on Numerical Analysis},
     month = aug,
     number = {4},
     pages = {2125--2149},
     publisher = {Society for Industrial \& Applied Mathematics (SIAM)},
     source = {Crossref},
     volume = {60},
     year = {2022}
   }
   

2021

1. Ben Rached, N., Haji-Ali, A.-L., Rubino, G., & Tempone, R. (2021). Efficient importance sampling for large sums of independent and identically distributed random variables. Statistics and Computing, 31(6). https://doi.org/10.1007/s11222-021-10055-1
   CitationBen Rached, N., Haji-Ali, A.-L., Rubino, G., & Tempone, R. (2021). Efficient importance sampling for large sums of independent and identically distributed random variables. Statistics and Computing, 31(6). https://doi.org/10.1007/s11222-021-10055-1 BibTeX

   @article{ben.rached:importance,
     title = {Efficient importance sampling for large sums of independent and identically distributed random variables},
     author = {Ben Rached, Nadhir and Haji-Ali, Abdul-Lateef and Rubino, Gerardo and Tempone, Ra\'ul},
     author+an = {1=corresponding},
     doi = {10.1007/s11222-021-10055-1},
     issn = {0960-3174, 1573-1375},
     journal = {Statistics and Computing},
     month = oct,
     number = {6},
     publisher = {Springer Science and Business Media LLC},
     source = {Crossref},
     volume = {31},
     year = {2021}
   }
   

2020

1. Haji-Ali, A.-L., Nobile, F., Tempone, R., & Wolfers, S. (2020). Multilevel weighted least squares polynomial approximation. ESAIM: Mathematical Modelling and Numerical Analysis, 54(2), 649–677. https://doi.org/10.1051/m2an/2019045
   CitationHaji-Ali, A.-L., Nobile, F., Tempone, R., & Wolfers, S. (2020). Multilevel weighted least squares polynomial approximation. ESAIM: Mathematical Modelling and Numerical Analysis, 54(2), 649–677. https://doi.org/10.1051/m2an/2019045 BibTeX

   @article{haji2020multilevel,
     title = {Multilevel weighted least squares polynomial approximation},
     author = {Haji-Ali, Abdul-Lateef and Nobile, Fabio and Tempone, Ra\'ul and Wolfers, S\"oren},
     author+an = {4=corresponding},
     doi = {10.1051/m2an/2019045},
     issn = {0764-583X, 1290-3841},
     journal = {ESAIM: Mathematical Modelling and Numerical Analysis},
     month = mar,
     number = {2},
     pages = {649--677},
     publisher = {EDP Sciences},
     source = {Crossref},
     status = {published},
     volume = {54},
     year = {2020}
   }
   

2019

1. Giles, M. B., & Haji-Ali, A.-L. (2019). Multilevel Nested Simulation for Efficient Risk Estimation. SIAM/ASA Journal on Uncertainty Quantification, 7(2), 497–525. https://doi.org/10.1137/18m1173186
   CitationGiles, M. B., & Haji-Ali, A.-L. (2019). Multilevel Nested Simulation for Efficient Risk Estimation. SIAM/ASA Journal on Uncertainty Quantification, 7(2), 497–525. https://doi.org/10.1137/18m1173186 BibTeX

   @article{giles:adaptive,
     title = {Multilevel Nested Simulation for Efficient Risk Estimation},
     author = {Giles, Michael B. and Haji-Ali, Abdul-Lateef},
     author+an = {2=corresponding},
     doi = {10.1137/18m1173186},
     issn = {2166-2525},
     journal = {SIAM/ASA Journal on Uncertainty Quantification},
     month = jan,
     number = {2},
     pages = {497--525},
     publisher = {Society for Industrial \& Applied Mathematics (SIAM)},
     source = {Crossref},
     status = {published},
     volume = {7},
     year = {2019}
   }
   

2018

1. Haji-Ali, A.-L., Harbrecht, H., Peters, M. D., & Siebenmorgen, M. (2018). Novel results for the anisotropic sparse grid quadrature. Journal of Complexity, 47, 62–85. https://doi.org/10.1016/j.jco.2018.02.003
   CitationHaji-Ali, A.-L., Harbrecht, H., Peters, M. D., & Siebenmorgen, M. (2018). Novel results for the anisotropic sparse grid quadrature. Journal of Complexity, 47, 62–85. https://doi.org/10.1016/j.jco.2018.02.003 BibTeX

   @article{hajiali:cardinality,
     title = {Novel results for the anisotropic sparse grid quadrature},
     author = {Haji-Ali, A.-L. and Harbrecht, H. and Peters, M.D. and Siebenmorgen, M.},
     author+an = {2=corresponding},
     doi = {10.1016/j.jco.2018.02.003},
     issn = {0885-064X},
     journal = {Journal of Complexity},
     month = aug,
     pages = {62--85},
     publisher = {Elsevier BV},
     source = {Crossref},
     status = {published},
     volume = {47},
     year = {2018}
   }
   

2017

1. Haji-Ali, A.-L., & Tempone, R. (2017). Multilevel and Multi-index Monte Carlo methods for the McKean–Vlasov equation. Statistics and Computing, 28(4), 923–935. https://doi.org/10.1007/s11222-017-9771-5
   CitationHaji-Ali, A.-L., & Tempone, R. (2017). Multilevel and Multi-index Monte Carlo methods for the McKean–Vlasov equation. Statistics and Computing, 28(4), 923–935. https://doi.org/10.1007/s11222-017-9771-5 BibTeX

   @article{hajiali:mckean,
     title = {Multilevel and Multi-index {Monte} {Carlo} methods for the {McKean--Vlasov} equation},
     author = {Haji-Ali, Abdul-Lateef and Tempone, Ra{\'u}l},
     author+an = {1=corresponding},
     day = {01},
     doi = {10.1007/s11222-017-9771-5},
     issn = {0960-3174, 1573-1375},
     journal = {Statistics and Computing},
     month = sep,
     number = {4},
     pages = {923--935},
     publisher = {Springer Science and Business Media LLC},
     source = {Crossref},
     status = {published},
     volume = {28},
     year = {2017}
   }
   

2016

1. Haji-Ali, A.-L., Nobile, F., Tamellini, L., & Tempone, R. (2016). Multi-Index Stochastic Collocation for random PDEs. Computer Methods in Applied Mechanics and Engineering, 306, 95–122. https://doi.org/10.1016/j.cma.2016.03.029
   CitationHaji-Ali, A.-L., Nobile, F., Tamellini, L., & Tempone, R. (2016). Multi-Index Stochastic Collocation for random PDEs. Computer Methods in Applied Mechanics and Engineering, 306, 95–122. https://doi.org/10.1016/j.cma.2016.03.029 BibTeX

   @article{hajiali.eal:MISC1,
     title = {Multi-Index Stochastic Collocation for random {PDEs}},
     author = {Haji-Ali, Abdul-Lateef and Nobile, Fabio and Tamellini, Lorenzo and Tempone, Ra\'ul},
     author+an = {1=corresponding},
     doi = {10.1016/j.cma.2016.03.029},
     issn = {0045-7825},
     journal = {Computer Methods in Applied Mechanics and Engineering},
     month = jul,
     pages = {95--122},
     publisher = {Elsevier BV},
     source = {Crossref},
     status = {published},
     volume = {306},
     year = {2016}
   }
   

2. Haji-Ali, A.-L., Nobile, F., Tamellini, L., & Tempone, R. (2016). Multi-index Stochastic Collocation Convergence Rates for Random PDEs with Parametric Regularity. Foundations of Computational Mathematics, 16(6), 1555–1605. https://doi.org/10.1007/s10208-016-9327-7
   CitationHaji-Ali, A.-L., Nobile, F., Tamellini, L., & Tempone, R. (2016). Multi-index Stochastic Collocation Convergence Rates for Random PDEs with Parametric Regularity. Foundations of Computational Mathematics, 16(6), 1555–1605. https://doi.org/10.1007/s10208-016-9327-7 BibTeX

   @article{hajiali.eal:MISC2,
     title = {Multi-index Stochastic Collocation Convergence Rates for Random {PDEs} with Parametric Regularity},
     author = {Haji-Ali, Abdul-Lateef and Nobile, Fabio and Tamellini, Lorenzo and Tempone, Ra\'ul},
     author+an = {4=corresponding},
     day = {01},
     doi = {10.1007/s10208-016-9327-7},
     issn = {1615-3375, 1615-3383},
     journal = {Foundations of Computational Mathematics},
     month = aug,
     number = {6},
     pages = {1555--1605},
     publisher = {Springer Science and Business Media LLC},
     source = {Crossref},
     status = {published},
     volume = {16},
     year = {2016}
   }
   

2015

1. Haji-Ali, A.-L., Nobile, F., & Tempone, R. (2015). Multi-index Monte Carlo: When sparsity meets sampling. Numerische Mathematik, 132(4), 767–806. https://doi.org/10.1007/s00211-015-0734-5
   CitationHaji-Ali, A.-L., Nobile, F., & Tempone, R. (2015). Multi-index Monte Carlo: When sparsity meets sampling. Numerische Mathematik, 132(4), 767–806. https://doi.org/10.1007/s00211-015-0734-5 BibTeX

   @article{abdullatif.etal:MultiIndexMC,
     title = {Multi-index {Monte} Carlo: {When} sparsity meets sampling},
     author = {Haji-Ali, Abdul-Lateef and Nobile, Fabio and Tempone, Ra\'ul},
     author+an = {1=corresponding},
     doi = {10.1007/s00211-015-0734-5},
     issn = {0029-599X, 0945-3245},
     journal = {Numerische Mathematik},
     keywords = {65C05; 65N30; 65N22},
     month = jun,
     number = {4},
     pages = {767--806},
     publisher = {Springer Science and Business Media LLC},
     source = {Crossref},
     status = {published},
     volume = {132},
     year = {2015}
   }
   

2. Haji-Ali, A.-L., Nobile, F., von Schwerin, E., & Tempone, R. (2015). Optimization of mesh hierarchies in multilevel Monte Carlo samplers. Stochastics and Partial Differential Equations Analysis and Computations, 4(1), 76–112. https://doi.org/10.1007/s40072-015-0049-7
   CitationHaji-Ali, A.-L., Nobile, F., von Schwerin, E., & Tempone, R. (2015). Optimization of mesh hierarchies in multilevel Monte Carlo samplers. Stochastics and Partial Differential Equations Analysis and Computations, 4(1), 76–112. https://doi.org/10.1007/s40072-015-0049-7 BibTeX

   @article{abdullatif:meshMLMC,
     title = {Optimization of mesh hierarchies in multilevel {Monte} {Carlo} samplers},
     author = {Haji-Ali, Abdul-Lateef and Nobile, Fabio and von Schwerin, Erik and Tempone, Ra\'ul},
     author+an = {1=corresponding},
     doi = {10.1007/s40072-015-0049-7},
     issn = {2194-0401, 2194-041X},
     journal = {Stochastics and Partial Differential Equations Analysis and Computations},
     keywords = {Multilevel Monte Carlo; Monte Carlo; Partial differential equations with random data; Stochastic differential equations; Optimal discretization; 65C05; 65N30; 65N22},
     month = jun,
     number = {1},
     pages = {76--112},
     publisher = {Springer Science and Business Media LLC},
     source = {Crossref},
     status = {published},
     volume = {4},
     year = {2015}
   }
   

2014

1. Collier, N., Haji-Ali, A.-L., Nobile, F., von Schwerin, E., & Tempone, R. (2014). A continuation multilevel Monte Carlo algorithm. BIT Numerical Mathematics, 55(2), 399–432. https://doi.org/10.1007/s10543-014-0511-3
   CitationCollier, N., Haji-Ali, A.-L., Nobile, F., von Schwerin, E., & Tempone, R. (2014). A continuation multilevel Monte Carlo algorithm. BIT Numerical Mathematics, 55(2), 399–432. https://doi.org/10.1007/s10543-014-0511-3 BibTeX

   @article{abdullatif:continuationMLMC,
     title = {A continuation multilevel {Monte} {Carlo} algorithm},
     author = {Collier, Nathan and Haji-Ali, Abdul-Lateef and Nobile, Fabio and von Schwerin, Erik and Tempone, Ra\'ul},
     author+an = {2=corresponding},
     doi = {10.1007/s10543-014-0511-3},
     issn = {0006-3835, 1572-9125},
     journal = {BIT Numerical Mathematics},
     keywords = {Multilevel Monte Carlo; Monte Carlo; Partial differential equations with random data; Stochastic differential equations; Bayesian inference; 65C05; 65N22},
     month = sep,
     number = {2},
     pages = {399--432},
     publisher = {Springer Science and Business Media LLC},
     source = {Crossref},
     status = {published},
     volume = {55},
     year = {2014}
   }