A hybrid parareal Monte Carlo algorithm for parabolic problems

DOI10.1016/j.cam.2022.114800zbMath1497.65168MaRDI QIDQ2087504

Yvon Maday, Jad Dabaghi, Andrea Zoia

Publication date: 21 October 2022

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2022.114800

zbMATH Keywords

Monte Carlo method; predictor-corrector; time-dependent problems; Galerkin schemes; parareal-in-time algorithm

Mathematics Subject Classification ID

65C05: Monte Carlo methods

65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs

65M60: Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs

65Y05: Parallel numerical computation