Monte Carlo versus multilevel Monte Carlo in weak error simulations of SPDE approximations

DOI10.1016/j.matcom.2017.05.002zbMath1481.60120arXiv1512.05317MaRDI QIDQ1996938

Andreas Petersson, Annika Lang

Publication date: 1 March 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1512.05317

zbMATH Keywords

weak convergence; stochastic partial differential equations; variance reduction techniques; (multilevel) Monte Carlo methods; upper and lower error bounds

Mathematics Subject Classification ID

65C05: Monte Carlo methods

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

Related Items

Rapid Covariance-Based Sampling of Linear SPDE Approximations in the Multilevel Monte Carlo Method, Numerical methods for the deterministic second moment equation of parabolic stochastic PDEs, Mean-square stability analysis of approximations of stochastic differential equations in infinite dimensions, On a Monte Carlo scheme for some linear stochastic partial differential equations, Improved efficiency of multilevel Monte Carlo for stochastic PDE through strong pairwise coupling

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