Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients

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DOI10.1007/s00211-013-0546-4zbMath1306.65009arXiv1204.3476MaRDI QIDQ380318

Michael B. Giles, Robert Scheichl, A. L. Teckentrup, Elisabeth Ullmann

Publication date: 13 November 2013

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.3476

zbMATH Keywords

convergence; finite element; error analysis; numerical result; multilevel Monte Carlo methods; Karhunen-Loève expansion; elliptic partial differential equations with random coefficients

Mathematics Subject Classification ID

65C05: Monte Carlo methods

65N15: Error bounds for boundary value problems involving PDEs

65N30: Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

35R60: PDEs with randomness, stochastic partial differential equations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

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