Multilevel Monte Carlo estimators for elliptic PDEs with Lévy-type diffusion coefficient (Q2100538)

The paper deals with a random elliptic partial differential equation (PDE) where the discontinuous subordinated Gaussian random fields occur in the diffusion coefficient. Such PDEs may be used as a simplified model for subsurface flow in heterogeneous or fractured porous media. Problem specific multilevel Monte Carlo (MLMC) Finite Element methods are constructed to approximate the mean of the solution to the random elliptic PDE. The authors prove a priori convergence of a standard MLMC estimator and a modified MLMC-control variate estimator and validate our results in various numerical examples.