Rapid Covariance-Based Sampling of Linear SPDE Approximations in the Multilevel Monte Carlo Method
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Publication:5117943
DOI10.1007/978-3-030-43465-6_21OpenAlexW3023358113MaRDI QIDQ5117943FDOQ5117943
Publication date: 26 August 2020
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1806.11523
Monte Carlostochastic partial differential equationsfinite element methodmultilevel Monte Carlocovariance operators
Cites Work
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- Duality in refined Sobolev-Malliavin spaces and weak approximation of SPDE
- Multilevel Monte Carlo Methods
- Stochastic partial differential equations
- A Note on the Importance of Weak Convergence Rates for SPDE Approximations in Multilevel Monte Carlo Schemes
- Mean-square stability analysis of approximations of stochastic differential equations in infinite dimensions
- Monte Carlo versus multilevel Monte Carlo in weak error simulations of SPDE approximations
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