Quantifying uncertain system outputs via the multilevel Monte Carlo method. I: Central moment estimation

DOI10.1016/j.jcp.2020.109466zbMath1440.65008MaRDI QIDQ2194312

Fabio Nobile, M. Pisaroni, Sebastian Krumscheid

Publication date: 25 August 2020

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jcp.2020.109466

zbMATH Keywords

uncertainty quantification; central moments; multilevel Monte Carlo; \(h\)-statistic

Mathematics Subject Classification ID

65C05: Monte Carlo methods

76H05: Transonic flows

76M35: Stochastic analysis applied to problems in fluid mechanics

35R60: PDEs with randomness, stochastic partial differential equations

91G10: Portfolio theory