Convergence analysis of multilevel Monte Carlo variance estimators and application for random obstacle problems

DOI10.1007/S00211-014-0676-3zbMath1432.65006OpenAlexW1991681863MaRDI QIDQ2353374

Alexey Chernov, Claudio Bierig

Publication date: 9 July 2015

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

Full work available at URL: https://doi.org/10.1007/s00211-014-0676-3

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for variational inequalities and related problems (65K15)

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