Multilevel Monte Carlo method with applications to stochastic partial differential equations

DOI10.1080/00207160.2012.701735zbMATH Open1270.65003OpenAlexW2060386985MaRDI QIDQ4902859FDOQ4902859

Authors: Andrea Barth, Annika Lang 

Publication date: 18 January 2013

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2012.701735

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zbMATH Keywords

numerical examplesheat equationstochastic partial differential equationstochastic parabolic equationmultilevel Monte Carlo methodstochastic finite element methodsfirst-order hyperbolic equationmultilevel approximationlinearized backward Euler scheme

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random fields (60G60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Heat equation (35K05) 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) First-order hyperbolic equations (35L02)

Cites Work

• Semigroups of linear operators and applications to partial differential equations
• Multilevel Monte Carlo Path Simulation
• Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients
• Stochastic Partial Differential Equations with Levy Noise
• A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations
• Multi-level Monte Carlo finite element method for elliptic PDEs with stochastic coefficients
• Weak convergence of finite element approximations of linear stochastic evolution equations with additive noise
• The exponential integrator scheme for stochastic partial differential equations: Pathwise error bounds
• Stability of the SUPG finite element method for transient advection-diffusion problems
• The multilevel Monte Carlo method used on a Lévy driven SDE

Cited In (58)

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• A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets
• An artificial compressibility ensemble algorithm for a stochastic Stokes-Darcy model with random hydraulic conductivity and interface conditions
• Highly efficient ensemble algorithms for computing the Stokes-Darcy equations
• An efficient ensemble algorithm for numerical approximation of stochastic Stokes-Darcy equations
• Adaptive multilevel Monte Carlo methods for stochastic variational inequalities
• Numerical analysis of a second order ensemble algorithm for numerical approximation of stochastic Stokes-Darcy equations
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• Improved efficiency of multilevel Monte Carlo for stochastic PDE through strong pairwise coupling
• SAV decoupled ensemble algorithms for fast computation of Stokes-Darcy flow ensembles
• Fast and accurate artificial compressibility ensemble algorithms for computing parameterized Stokes-Darcy flow ensembles
• Ensemble grouping strategies for embedded stochastic collocation methods applied to anisotropic diffusion problems
• Multilevel Hierarchical Decomposition of Finite Element White Noise with Application to Multilevel Markov Chain Monte Carlo
• A multilevel Monte Carlo finite element method for the stochastic Cahn-Hilliard-Cook equation
• Rapid Covariance-Based Sampling of Linear SPDE Approximations in the Multilevel Monte Carlo Method
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• Analysis of nested multilevel Monte Carlo using approximate normal random variables
• Numerical analysis of lognormal diffusions on the sphere
• An adaptive wavelet stochastic collocation method for irregular solutions of partial differential equations with random input data
• Weak convergence of Galerkin approximations of stochastic partial differential equations driven by additive Lévy noise
• The forward dynamics in energy markets – infinite-dimensional modelling and simulation
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• A fully parallelizable space-time multilevel Monte Carlo method for stochastic differential equations with additive noise
• Combining space-time multigrid techniques with multilevel Monte Carlo methods for SDEs
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• Uncertainty quantification for hyperbolic conservation laws with flux coefficients given by spatiotemporal random fields
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• Multilevel Monte Carlo Simulation of Statistical Solutions to the Navier–Stokes Equations
• On a Monte Carlo scheme for some linear stochastic partial differential equations
• The optimal multilevel Monte-Carlo approximation of the stochastic drift-diffusion-Poisson system
• Construction of a mean square error adaptive Euler-Maruyama method with applications in multilevel Monte Carlo
• Multilevel Monte Carlo method for ergodic SDEs without contractivity
• On multilevel Monte Carlo methods for deterministic and uncertain hyperbolic systems
• A Multiscale Multilevel Monte Carlo Method for Multiscale Elliptic PDEs with Random Coefficients
• Multilevel Monte Carlo approximation of distribution functions and densities
• Multilevel Monte Carlo for the Feynman-Kac formula for the Laplace equation
• Consistency and stability of a Milstein-Galerkin finite element scheme for semilinear SPDE
• Stabilized multilevel Monte Carlo method for stiff stochastic differential equations
• Stochastic finite element methods for partial differential equations with random input data
• Multilevel Monte Carlo Methods for Stochastic Elliptic Multiscale PDEs
• Mean-square stability analysis of approximations of stochastic differential equations in infinite dimensions
• Surrogate-Based Ensemble Grouping Strategies for Embedded Sampling-Based Uncertainty Quantification
• Multilevel ensemble transform particle filtering
• Multilevel Quasi-Monte Carlo methods for lognormal diffusion problems
• Monte Carlo versus multilevel Monte Carlo in weak error simulations of SPDE approximations
• A pressure-correction ensemble scheme for computing evolutionary Boussinesq equations
• An Artificial Compressibility Crank--Nicolson Leap-Frog Method for the Stokes--Darcy Model and Application in Ensemble Simulations
• Antithetic Multilevel Monte Carlo Estimation for Multidimensional SDEs
• Uncertainty quantification for linear hyperbolic equations with stochastic process or random field coefficients
• Iterative multilevel particle approximation for McKean-Vlasov SDEs
• Renormalization based MLMC method for scalar elliptic SPDE
• Multilevel Monte Carlo Covariance Estimation for the Computation of Sobol' Indices
• Central limit theorems for multilevel Monte Carlo methods
• Analysis of sparse grid multilevel estimators for multi-dimensional Zakai equations
• Multilevel Monte Carlo method for parabolic stochastic partial differential equations
• On the implementation of multilevel Monte Carlo simulation of the stochastic volatility and interest rate model using multi-GPU clusters
• Ninomiya-Victoir scheme : Multilevel Monte Carlo estimators and discretization of the involved Ordinary Differential Equations

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