A multilevel Monte Carlo finite difference method for random scalar degenerate convection–diffusion equations
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Publication:4588797
DOI10.1142/S021989161750014XzbMath1373.35179OpenAlexW2755927748MaRDI QIDQ4588797
Franziska Weber, Ujjwal Koley, Christoph Schwab, Nils Henrik Risebro
Publication date: 2 November 2017
Published in: Journal of Hyperbolic Differential Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s021989161750014x
rate of convergenceMonte Carlo methodfinite difference schemesrandom entropy solutiondegenerate convection-diffusion equation
Degenerate parabolic equations (35K65) Stability and convergence of numerical methods for ordinary differential equations (65L20) Finite difference and finite volume methods for ordinary differential equations (65L12)
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