Combining space-time multigrid techniques with multilevel Monte Carlo methods for SDEs

DOI10.1007/978-3-319-93873-8_47zbMATH Open1450.65112OpenAlexW2907318937MaRDI QIDQ5114567FDOQ5114567

Authors Martin Neumüller, Andreas Thalhammer

Publication date 24 June 2020

Published in Lecture Notes in Computational Science and Engineering (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-93873-8_47

zbMATH Keywords

stochastic differential equationsmultilevel Monte Carlo methodparallel methodspace-time multigrid

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Parallel numerical computation (65Y05) PDEs with randomness, stochastic partial differential equations (35R60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30)

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Cites work

• A note on the importance of weak convergence rates for SPDE approximations in multilevel Monte Carlo schemes
• An introduction to computational stochastic PDEs
• Analysis of a new space-time parallel multigrid algorithm for parabolic problems
• Duality in refined Sobolev-Malliavin spaces and weak approximation of SPDE
• Multilevel Monte Carlo Path Simulation
• Simulation of stochastic partial differential equations using finite element methods
• Stochastic Equations in Infinite Dimensions

Cited in

(2)

• Space-time multilevel Monte Carlo methods and their application to cardiac electrophysiology
• A fully parallelizable space-time multilevel Monte Carlo method for stochastic differential equations with additive noise

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