Multilevel Monte Carlo front-tracking for random scalar conservation laws
DOI10.1007/S10543-015-0550-4zbMATH Open1350.65008OpenAlexW2161446356MaRDI QIDQ285286FDOQ285286
Authors: N. H. Risebro, Christoph Schwab, Franziska Weber 
Publication date: 19 May 2016
Published in: BIT (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/20.500.11850/154927
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convergencenumerical examplesMonte Carlo methodsCauchy problemconservation lawscomplexity estimatefront-trackingfront-tracking algorithmrandom entropy solutionrandom fluxRiemann problems
Monte Carlo methods (65C05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Complexity and performance of numerical algorithms (65Y20) Hyperbolic conservation laws (35L65) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)
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Cited In (14)
- Multi-level Monte Carlo finite volume methods for nonlinear systems of conservation laws in multi-dimensions
- Correction to: ``Multilevel Monte Carlo front-tracking for random scalar conservation laws
- Statistical solutions of hyperbolic systems of conservation laws: Numerical approximation
- Numerical solution of scalar conservation laws with random flux functions
- A posteriori error analysis and adaptive non-intrusive numerical schemes for systems of random conservation laws
- Multi-level Monte Carlo finite difference and finite volume methods for stochastic linear hyperbolic systems
- Sparse tensor multi-level Monte Carlo finite volume methods for hyperbolic conservation laws with random initial data
- Numerical approximation of statistical solutions of scalar conservation laws
- Numerical methods for conservation laws with rough flux
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- A nonlocal traffic flow model with stochastic velocity
- Multilevel Markov Chain Monte Carlo Method for High-Contrast Single-Phase Flow Problems
- Multilevel Monte Carlo finite volume methods for random conservation laws with discontinuous flux
- A multilevel Monte Carlo finite difference method for random scalar degenerate convection-diffusion equations
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