Optimal Choices of Correlation Operators in Brownian Simulation Methods

DOI10.1137/070702618MaRDI QIDQ3616295zbMATH OpenOpenAlexFDO

Authors Raz Kupferman, Yossi Shamai

Publication date 24 March 2009

Published in Multiscale Modeling & Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/070702618

zbMATH Keywords

Brownian simulationssemidefinite programmingspatial correlationsSPDEs

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Brownian motion (60J65) Monte Carlo methods (65C05)

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Cited in

(1)

• Spatially correlated noise and variance minimization in stochastic simulations

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