Multilevel Monte Carlo method for parabolic stochastic partial differential equations
DOI10.1007/s10543-012-0401-5zbMath1272.65009MaRDI QIDQ1944017
Annika Lang, Andrea Barth, Christoph Schwab
Publication date: 3 April 2013
Published in: BIT (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/20.500.11850/59248
complexity; convergence; stochastic partial differential equations; multilevel Monte Carlo; stochastic parabolic equation; Euler-Maruyama discretization in time; Galerkin discretizations in space; multilevel approximations; stochastic finite elements methods
65C05: Monte Carlo methods
35K20: Initial-boundary value problems for second-order parabolic equations
65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
35R60: PDEs with randomness, stochastic partial differential equations
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
65Y20: Complexity and performance of numerical algorithms
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