Multilevel Monte Carlo method for parabolic stochastic partial differential equations

DOI10.1007/s10543-012-0401-5zbMath1272.65009OpenAlexW2048594685MaRDI QIDQ1944017

Annika Lang, Andrea Barth, Christoph Schwab

Publication date: 3 April 2013

Published in: BIT (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/20.500.11850/59248

zbMATH Keywords

complexityconvergencestochastic partial differential equationsmultilevel Monte Carlostochastic parabolic equationEuler-Maruyama discretization in timeGalerkin discretizations in spacemultilevel approximationsstochastic finite elements methods

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Initial-boundary value problems for second-order parabolic equations (35K20) 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)

Related Items (34)

Uncertainty Quantification by Multilevel Monte Carlo and Local Time-Stepping for Wave Propagation ⋮ New regularity of Kolmogorov equation and application on approximation of semi-linear SPDEs with Hölder continuous drifts ⋮ An Adaptive Multilevel Monte Carlo Method with Stochastic Bounds for Quantities of Interest with Uncertain Data ⋮ A Fully Parallelizable Space-Time Multilevel Monte Carlo Method for Stochastic Differential Equations with Additive Noise ⋮ Adaptive Multilevel Monte Carlo Methods for Stochastic Variational Inequalities ⋮ Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients ⋮ Multi-fidelity stochastic collocation method for computation of statistical moments ⋮ Mean-square stability analysis of approximations of stochastic differential equations in infinite dimensions ⋮ A Note on the Importance of Weak Convergence Rates for SPDE Approximations in Multilevel Monte Carlo Schemes ⋮ Localized Orthogonal Decomposition for a Multiscale Parabolic Stochastic Partial Differential Equation ⋮ Monte Carlo convergence rates for \(k\)th moments in Banach spaces ⋮ Rapid Covariance-Based Sampling of Linear SPDE Approximations in the Multilevel Monte Carlo Method ⋮ Numerical methods for the deterministic second moment equation of parabolic stochastic PDEs ⋮ $hp$-Multilevel Monte Carlo Methods for Uncertainty Quantification of Compressible Navier--Stokes Equations ⋮ Surrogate-Based Ensemble Grouping Strategies for Embedded Sampling-Based Uncertainty Quantification ⋮ Consistency and stability of a Milstein-Galerkin finite element scheme for semilinear SPDE ⋮ Ensemble Grouping Strategies for Embedded Stochastic Collocation Methods Applied to Anisotropic Diffusion Problems ⋮ Optimization of mesh hierarchies in multilevel Monte Carlo samplers ⋮ Monte Carlo versus multilevel Monte Carlo in weak error simulations of SPDE approximations ⋮ Weak convergence of Galerkin approximations of stochastic partial differential equations driven by additive Lévy noise ⋮ Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE ⋮ Central limit theorems for multilevel Monte Carlo methods ⋮ Stochastic finite element methods for partial differential equations with random input data ⋮ Binned Multilevel Monte Carlo for Bayesian Inverse Problems with Large Data ⋮ Multi-index stochastic collocation for random PDEs ⋮ A randomized and fully discrete Galerkin finite element method for semilinear stochastic evolution equations ⋮ A continuation multi level Monte Carlo (C-MLMC) method for uncertainty quantification in compressible inviscid aerodynamics ⋮ Robust Optimization of PDEs with Random Coefficients Using a Multilevel Monte Carlo Method ⋮ Multilevel Markov Chain Monte Carlo for Bayesian Inversion of Parabolic Partial Differential Equations under Gaussian Prior ⋮ A multilevel Monte Carlo finite element method for the stochastic Cahn-Hilliard-Cook equation ⋮ An Adaptive Wavelet Stochastic Collocation Method for Irregular Solutions of Partial Differential Equations with Random Input Data ⋮ Improved efficiency of multilevel Monte Carlo for stochastic PDE through strong pairwise coupling ⋮ A Milstein scheme for SPDEs ⋮ SDE Based Regression for Linear Random PDEs

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The exponential integrator scheme for stochastic partial differential equations: Pathwise error bounds
• The numerical approximation of stochastic partial differential equations
• Multi-level Monte Carlo finite element method for elliptic PDEs with stochastic coefficients
• Square roots of elliptic second order divergence operators on strongly Lipschitz domains: \(L ^{2}\) theory
• Semigroups of linear operators and applications to partial differential equations
• Short proof of a discrete Gronwall inequality
• On Liu's analyticity criterion for semigroups
• Milstein approximation for advection-diffusion equations driven by multiplicative noncontinuous martingale noises
• \(L^p\) and almost sure convergence of a Milstein scheme for stochastic partial differential equations
• A Milstein scheme for SPDEs
• Rate of weak convergence of the finite element method for the stochastic heat equation with additive noise
• Sparse tensor multi-level Monte Carlo finite volume methods for hyperbolic conservation laws with random initial data
• Finite Element Approximation of the Linear Stochastic Wave Equation with Additive Noise
• Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
• Multilevel Monte Carlo Path Simulation
• One-Parameter Semigroups for Linear Evolution Equations
• Simulation of stochastic partial differential equations using finite element methods
• Stochastic Partial Differential Equations with Levy Noise
• Galerkin Finite Element Methods for Parabolic Problems
• Stochastic Equations in Infinite Dimensions

This page was built for publication: Multilevel Monte Carlo method for parabolic stochastic partial differential equations