A fully parallelizable space-time multilevel Monte Carlo method for stochastic differential equations with additive noise

DOI10.1137/17M1146725zbMATH Open1391.65023OpenAlexW2808840529MaRDI QIDQ4569310FDOQ4569310

Authors: Martin Neumüller, Andreas Thalhammer 

Publication date: 28 June 2018

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/17m1146725

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zbMATH Keywords

stochastic partial differential equationsstochastic differential equationsMonte Carlo estimatorsspace-time multigridparallel-in-time algorithms

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55)

Cites Work

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• Duality in refined Sobolev-Malliavin spaces and weak approximation of SPDE
• Simulation of stochastic partial differential equations using finite element methods
• Multi-level Monte Carlo finite volume methods for uncertainty quantification of acoustic wave propagation in random heterogeneous layered medium
• A note on the importance of weak convergence rates for SPDE approximations in multilevel Monte Carlo schemes
• Scheduling massively parallel multigrid for multilevel Monte Carlo methods
• Combining space-time multigrid techniques with multilevel Monte Carlo methods for SDEs

Cited In (2)

• Combining space-time multigrid techniques with multilevel Monte Carlo methods for SDEs
• A multilevel Monte Carlo algorithm for stochastic differential equations driven by countably dimensional Wiener process and Poisson random measure

Uses Software

• FFTW

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