Multi-level Monte Carlo finite element method for elliptic PDEs with stochastic coefficients

DOI10.1007/S00211-011-0377-0zbMath1230.65006OpenAlexW2036766781WikidataQ110701952 ScholiaQ110701952MaRDI QIDQ639370

Andrea Barth, Nathaniel Zollinger, Christoph Schwab

Publication date: 20 September 2011

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/20.500.11850/162459

zbMATH Keywords

numerical examplesstochastic partial differential equationselliptic equationpartial differential equations with random coefficientslog-linear complexitymulti-level Monte Carlo method

Mathematics Subject Classification ID

Monte Carlo methods (65C05) 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)

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