Monte Carlo versus multilevel Monte Carlo in weak error simulations of SPDE approximations

DOI10.1016/j.matcom.2017.05.002zbMath1481.60120arXiv1512.05317OpenAlexW2952037009MaRDI QIDQ1996938

Andreas Petersson, Annika Lang

Publication date: 1 March 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1512.05317

zbMATH Keywords

weak convergencestochastic partial differential equationsvariance reduction techniques(multilevel) Monte Carlo methodsupper and lower error bounds

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (6)

Mean-square stability analysis of approximations of stochastic differential equations in infinite dimensions ⋮ Localized Orthogonal Decomposition for a Multiscale Parabolic Stochastic Partial Differential Equation ⋮ 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 ⋮ On a Monte Carlo scheme for some linear stochastic partial differential equations ⋮ Improved efficiency of multilevel Monte Carlo for stochastic PDE through strong pairwise coupling

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