Optimization of mesh hierarchies in multilevel Monte Carlo samplers
DOI10.1007/s40072-015-0049-7zbMath1359.65013arXiv1403.2480OpenAlexW2106605796MaRDI QIDQ507015
Abdul-Lateef Haji-Ali, Erik von Schwerin, Fabio Nobile, Raúl Tempone
Publication date: 3 February 2017
Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1403.2480
stochastic differential equationsmultilevel Monte Carlooptimal discretizationrandom data partial differential equations
Monte Carlo methods (65C05) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Numerical solutions to stochastic differential and integral equations (65C30) Numerical solution of discretized equations for boundary value problems involving PDEs (65N22)
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