Multilevel Monte Carlo estimators for elliptic PDEs with Lévy-type diffusion coefficient

DOI10.1007/S10543-022-00912-4MaRDI QIDQ2100538zbMATH OpenOpenAlexWikidataFDO

Authors Robin Merkle, Andrea Barth

Publication date 22 November 2022

Published in BIT (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2108.05604

zbMATH Keywords

circulant embeddingcontrol variatesdiscontinuous random fieldsfinite element methodsLévy fieldsmultilevel Monte Carlostochastic partial differential equationssubordination

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Random fields (60G60) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65) Random operators and equations (aspects of stochastic analysis) (60H25) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Jump processes on discrete state spaces (60J74) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Flows in porous media; filtration; seepage (76S05)

Review text

The paper deals with a random elliptic partial differential equation (PDE) where the discontinuous subordinated Gaussian random fields occur in the diffusion coefficient. Such PDEs may be used as a simplified model for subsurface flow in heterogeneous or fractured porous media. Problem specific multilevel Monte Carlo (MLMC) Finite Element methods are constructed to approximate the mean of the solution to the random elliptic PDE. The authors prove a priori convergence of a standard MLMC estimator and a modified MLMC-control variate estimator and validate our results in various numerical examples.

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Cited in

(8)

• The optimal multilevel Monte-Carlo approximation of the stochastic drift-diffusion-Poisson system
• Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients
• Ninomiya-Victoir scheme : Multilevel Monte Carlo estimators and discretization of the involved Ordinary Differential Equations
• A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations
• Subordinated Gaussian random fields in elliptic partial differential equations
• On properties and applications of Gaussian subordinated Lévy fields
• Multilevel Monte Carlo estimators for elliptic PDEs with L\'evy-type diffusion coefficient
• A multi level Monte Carlo method with control variate for elliptic PDEs with log-normal coefficients

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