Improved efficiency of multilevel Monte Carlo for stochastic PDE through strong pairwise coupling

DOI10.1007/S10915-022-02031-2MaRDI QIDQ2103434zbMATH OpenOpenAlexFDO

Authors Neil K. Chada, Håkon Hoel, Ajay Jasra, Georgios E. Zouraris

Publication date 13 December 2022

Published in Journal of Scientific Computing (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2108.00794

zbMATH Keywords

stochastic partial differential equationsmultilevel Monte Carlo methodweak approximationsexponential Euler method

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Recommendations

• Multilevel Monte Carlo method with applications to stochastic partial differential equations
• Improving multilevel Monte Carlo for stochastic differential equations with application to the Langevin equation
• Multilevel MC method for weak approximation of stochastic differential equation with the exact coupling scheme
• A note on the importance of weak convergence rates for SPDE approximations in multilevel Monte Carlo schemes

Cites work

• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 2000348 (Why is no real title available?)
• scientific article; zbMATH DE number 2117879 (Why is no real title available?)
• A MULTI-INDEX MARKOV CHAIN MONTE CARLO METHOD
• A Milstein scheme for SPDEs
• A new class of exponential integrators for SDEs with multiplicative noise
• An introduction to computational stochastic PDEs
• Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
• Approximation for semilinear stochastic evolution equations
• Assessment of multilevel ensemble-based data assimilation for reservoir history matching
• Efficient approximation of random fields for numerical applications.
• Exponential integrators
• Finite element error analysis of elliptic PDEs with random coefficients and its application to multilevel Monte Carlo methods
• Improving multilevel Monte Carlo for stochastic differential equations with application to the Langevin equation
• Introduction to uncertainty quantification
• MULTI-INDEX SEQUENTIAL MONTE CARLO METHODS FOR PARTIALLY OBSERVED STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS
• Milstein approximation for advection-diffusion equations driven by multiplicative noncontinuous martingale noises
• Monte Carlo versus multilevel Monte Carlo in weak error simulations of SPDE approximations
• Multi-index Monte Carlo: when sparsity meets sampling
• Multilevel Markov Chain Monte Carlo
• Multilevel Monte Carlo Methods for Stochastic Elliptic Multiscale PDEs
• Multilevel Monte Carlo Path Simulation
• Multilevel Monte Carlo method for parabolic stochastic partial differential equations
• Multilevel Monte Carlo method with applications to stochastic partial differential equations
• Multilevel Particle Filters
• Multilevel ensemble Kalman filtering
• Multilevel ensemble Kalman filtering for spatio-temporal processes
• Multilevel ensemble Kalman-Bucy filters
• Nonlinear dynamics and statistical theories for basic geophysical flows.
• Numerical analysis of semilinear stochastic evolution equations in Banach spaces
• Numerical methods for stochastic computations. A spectral method approach.
• Numerical methods for stochastic partial differential equations with white noise
• Overcoming the order barrier in the numerical approximation of stochastic partial differential equations with additive space-time noise
• Stochastic Equations in Infinite Dimensions
• Stochastic exponential integrators for the finite element discretization of SPDEs for multiplicative and additive noise
• Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance
• The exponential integrator scheme for stochastic partial differential equations: Pathwise error bounds
• The mathematics of medical imaging. A beginner's guide

Cited in

(5)

• Efficient White Noise Sampling and Coupling for Multilevel Monte Carlo with Nonnested Meshes
• Improved Efficiency of Multilevel Monte Carlo for Stochastic PDE through Strong Pairwise Coupling
• Multilevel MC method for weak approximation of stochastic differential equation with the exact coupling scheme
• A multilevel Monte Carlo algorithm for stochastic differential equations driven by countably dimensional Wiener process and Poisson random measure
• Improving multilevel Monte Carlo for stochastic differential equations with application to the Langevin equation

This page was built for publication: Improved efficiency of multilevel Monte Carlo for stochastic PDE through strong pairwise coupling

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2103434)