Combining space-time multigrid techniques with multilevel Monte Carlo methods for SDEs
DOI10.1007/978-3-319-93873-8_47zbMATH Open1450.65112OpenAlexW2907318937MaRDI QIDQ5114567FDOQ5114567
Andreas Thalhammer, Martin Neumüller
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
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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)
Cites Work
- Stochastic Equations in Infinite Dimensions
- Multilevel Monte Carlo Path Simulation
- 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
- Simulation of stochastic partial differential equations using finite element methods
- A Note on the Importance of Weak Convergence Rates for SPDE Approximations in Multilevel Monte Carlo Schemes
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