Optimization of mesh hierarchies in multilevel Monte Carlo samplers
DOI10.1007/s40072-015-0049-7zbMath1359.65013arXiv1403.2480MaRDI QIDQ507015
Fabio Nobile, Abdul-Lateef Haji-Ali, Raúl Tempone, Erik von Schwerin
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 equations; multilevel Monte Carlo; optimal discretization; random data partial differential equations
65C05: Monte Carlo methods
65N30: Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs
65C30: Numerical solutions to stochastic differential and integral equations
65N22: Numerical solution of discretized equations for boundary value problems involving PDEs
Uses Software
