Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients

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Publication:416123

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DOI10.1007/s00791-011-0160-xzbMath1241.65012OpenAlexW2135459060MaRDI QIDQ416123

A. L. Teckentrup, K. Andrew Cliffe, Michael B. Giles, Robert Scheichl

Publication date: 9 May 2012

Published in: Computing and Visualization in Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00791-011-0160-x

zbMATH Keywords

multilevel numerical examples groundwater flow Monte Carlo method variance reduction uncertainty quantification stochastic PDE elliptic partial differential equations with random coefficients

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Flows in porous media; filtration; seepage (76S05) Stochastic analysis applied to problems in fluid mechanics (76M35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) 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)

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