A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations

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Efficient Analysis of High Dimensional Data in Tensor Formats (2012, background): “Sparse grids are usually used together with collocation method [39] or for computing PCE coefficents of random fields κ(x, ω), f(x, ω) and u(x, ω) (the last are used, for instance, for building the response surface of the solution [29, 30]).”
On tamed milstein schemes of SDEs driven by Lévy noise (2014, background): “Z E ∫ s κ(n,s) ∣∣∣∂γi(xnκ(n,r), z2) ∂xu ∣∣∣p|σ(u,j)(xnκ(n,r))|pdrν(dz2) and then due to Remarks [4, 5], one obtains E ∫”