Sparse tensor multi-level Monte Carlo finite volume methods for hyperbolic conservation laws with random initial data

DOI10.1090/S0025-5718-2012-02574-9zbMath1271.65018MaRDI QIDQ2840000

Christoph Schwab, Siddhartha Mishra

Publication date: 17 July 2013

Published in: Mathematics of Computation (Search for Journal in Brave)

zbMATH Keywords

numerical experimentsfinite volume methodshyperbolic conservation lawsdiscontinuous solutionsrandom initial datarandom-entropy solutionsparse tensor multi-level Monte Carlo methods

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Hyperbolic conservation laws (35L65) 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) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)

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