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

DOI10.1137/17M1146725MaRDI QIDQ4569310zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Monte Carlo estimatorsparallel-in-time algorithmsspace-time multigridstochastic differential equationsstochastic partial differential equations

Mathematics Subject Classification ID

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

Recommendations

• Combining space-time multigrid techniques with multilevel Monte Carlo methods for SDEs
• Multilevel Monte Carlo method for parabolic stochastic partial differential equations
• Implicit space-time domain decomposition methods for stochastic parabolic partial differential equations
• Multilevel Monte Carlo for stochastic differential equations with additive fractional noise
• Multilevel Monte Carlo method with applications to stochastic partial differential equations

Cites work

• 50 years of time parallel time integration
• A note on the importance of weak convergence rates for SPDE approximations in multilevel Monte Carlo schemes
• A Space-Time Multigrid Method for Parabolic Partial Differential Equations
• An introduction to computational stochastic PDEs
• Analysis of a new space-time parallel multigrid algorithm for parabolic problems
• Combining space-time multigrid techniques with multilevel Monte Carlo methods for SDEs
• Duality in refined Sobolev-Malliavin spaces and weak approximation of SPDE
• Fast simulation of Gaussian random fields
• scientific article; zbMATH DE number 2114382 (Why is no real title available?)
• Multi-level Monte Carlo finite volume methods for nonlinear systems of conservation laws in multi-dimensions
• Multi-level Monte Carlo finite volume methods for uncertainty quantification of acoustic wave propagation in random heterogeneous layered medium
• Multilevel Monte Carlo method for parabolic stochastic partial differential equations
• Multilevel Monte Carlo Path Simulation
• Parallel time integration with multigrid
• Scheduling massively parallel multigrid for multilevel Monte Carlo methods
• Simulation of stochastic partial differential equations using finite element methods
• Stochastic Equations in Infinite Dimensions

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

Describes a project that uses

Uses Software

• FFTW

This page was built for publication: A fully parallelizable space-time multilevel Monte Carlo method for stochastic differential equations with additive noise

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4569310)