Rapid Covariance-Based Sampling of Linear SPDE Approximations in the Multilevel Monte Carlo Method

DOI10.1007/978-3-030-43465-6_21OpenAlexW3023358113MaRDI QIDQ5117943

Andreas Petersson

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

zbMATH Keywords

finite element methodMonte Carlostochastic partial differential equationsmultilevel Monte Carlocovariance operators

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Cites Work

• Stabilized multilevel Monte Carlo method for stiff stochastic differential equations
• Strong and weak approximation of semilinear stochastic evolution equations
• A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems
• Duality in refined Sobolev-Malliavin spaces and weak approximation of SPDE
• The numerical approximation of stochastic partial differential equations
• Multi-level Monte Carlo finite element method for elliptic PDEs with stochastic coefficients
• Strong convergence of the finite element method with truncated noise for semilinear parabolic stochastic equations with additive noise
• Monte Carlo complexity of global solution of integral equations
• Mean-square stability analysis of approximations of stochastic differential equations in infinite dimensions
• Milstein approximation for advection-diffusion equations driven by multiplicative noncontinuous martingale noises
• Multilevel Monte Carlo method for parabolic stochastic partial differential equations
• Monte Carlo versus multilevel Monte Carlo in weak error simulations of SPDE approximations
• Stochastic partial differential equations
• A concise course on stochastic partial differential equations
• An Introduction to Computational Stochastic PDEs
• Multilevel Monte Carlo Methods
• A Note on the Importance of Weak Convergence Rates for SPDE Approximations in Multilevel Monte Carlo Schemes
• Multilevel Monte Carlo Path Simulation
• Multilevel Monte Carlo method with applications to stochastic partial differential equations
• Stochastic Equations in Infinite Dimensions
• Multilevel Monte Carlo Methods for Stochastic Elliptic Multiscale PDEs
• Stochastic Partial Differential Equations with Levy Noise
• The Mathematical Theory of Finite Element Methods
• Galerkin Finite Element Methods for Parabolic Problems

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