Multilevel Monte Carlo front-tracking for random scalar conservation laws

DOI10.1007/S10543-015-0550-4zbMath1350.65008OpenAlexW2161446356MaRDI QIDQ285286

Franziska Weber, Christoph Schwab, Nils Henrik Risebro

Publication date: 19 May 2016

Published in: BIT (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/20.500.11850/154927

zbMATH Keywords

convergenceconservation lawsCauchy problemnumerical examplesRiemann problemsMonte Carlo methodsfront-trackingcomplexity estimatefront-tracking algorithmrandom entropy solutionrandom flux

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Hyperbolic conservation laws (35L65) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Complexity and performance of numerical algorithms (65Y20) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

Related Items (8)

A multilevel Monte Carlo finite difference method for random scalar degenerate convection–diffusion equations ⋮ A posteriori error analysis and adaptive non-intrusive numerical schemes for systems of random conservation laws ⋮ Correction to: ``Multilevel Monte Carlo front-tracking for random scalar conservation laws ⋮ Entropies and Symmetrization of Hyperbolic Stochastic Galerkin Formulations ⋮ Numerical Solution of Scalar Conservation Laws with Random Flux Functions ⋮ Statistical solutions of hyperbolic systems of conservation laws: Numerical approximation ⋮ A nonlocal traffic flow model with stochastic velocity ⋮ Numerical methods for conservation laws with rough flux

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