VARIANCE REDUCTION METHODS AND MULTILEVEL MONTE CARLO STRATEGY FOR ESTIMATING DENSITIES OF SOLUTIONS TO RANDOM SECOND-ORDER LINEAR DIFFERENTIAL EQUATIONS

DOI10.1615/Int.J.UncertaintyQuantification.2020032659zbMath1498.60277MaRDI QIDQ5052411

Olivier P. Le Maître, Juan-Carlos Cortés, J. Calatayud, M. Jornet

Publication date: 24 November 2022

Published in: International Journal for Uncertainty Quantification (Search for Journal in Brave)

Mathematics Subject Classification ID

62G05: Nonparametric estimation

60-08: Computational methods for problems pertaining to probability theory

60H25: Random operators and equations (aspects of stochastic analysis)

34F05: Ordinary differential equations and systems with randomness