Multilevel Estimation of Rare Events
From MaRDI portal
Publication:3452529
DOI10.1137/140992953zbMath1327.65246OpenAlexW1835834635MaRDI QIDQ3452529
Iason Papaioannou, Elisabeth Ullmann
Publication date: 12 November 2015
Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)
Full work available at URL: http://mediatum.ub.tum.de/doc/1451917/document.pdf
Monte Carlo methods (65C05) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Numerical analysis or methods applied to Markov chains (65C40) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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