MULTI-INDEX SEQUENTIAL MONTE CARLO METHODS FOR PARTIALLY OBSERVED STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS

Abstract

We would like to thank Abdul-Lateef Haji-Ali for useful discussions relating to the material in this paper. AJ was supported by an AcRF tier 2 grant: R-155-000-161-112. AJ is affiliated with the Risk Management Institute, the Center for Quantitative Finance and the OR & Analytics cluster at NUS. AJ was supported by a KAUST CRG4 grant ref: 2584. KJHL was supported by the School of Mathematics at the University of Manchester and The Alan Turing Institute. He was also funded in part by Oak Ridge National Laboratory Directed Research and Development Seed funding.