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

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)

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• scientific article; zbMATH DE number 2114382 (Why is no real title available?)
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• Duality in refined Sobolev-Malliavin spaces and weak approximation of SPDE
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• 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

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