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

zbMATH Keywords

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

Mathematics Subject Classification ID

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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