Multilevel Monte Carlo for the Feynman-Kac formula for the Laplace equation
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Publication:906958
DOI10.1007/S10543-014-0543-8zbMath1347.60088arXiv1401.3891OpenAlexW2035060992MaRDI QIDQ906958
Stefan Pauli, Andreas Adelmann, Robert Nicholas Gantner, Peter Arbenz
Publication date: 1 February 2016
Published in: BIT (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1401.3891
Monte Carlo methods (65C05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical methods for partial differential equations, boundary value problems (65N99)
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