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

DOI10.1007/978-3-030-43465-6_21MaRDI QIDQ5117943zbMATH OpenOpenAlexFDO

Authors 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

covariance operatorsfinite element methodMonte Carlomultilevel Monte Carlostochastic partial differential equations

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Cites work

• A concise course on stochastic partial differential equations
• A note on the importance of weak convergence rates for SPDE approximations in multilevel Monte Carlo schemes
• A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems
• An introduction to computational stochastic PDEs
• Duality in refined Sobolev-Malliavin spaces and weak approximation of SPDE
• Galerkin Finite Element Methods for Parabolic Problems
• 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
• Monte Carlo complexity of global solution of integral equations
• Monte Carlo versus multilevel Monte Carlo in weak error simulations of SPDE approximations
• Multi-level Monte Carlo finite element method for elliptic PDEs with stochastic coefficients
• Multilevel Monte Carlo method for parabolic stochastic partial differential equations
• Multilevel Monte Carlo method with applications to stochastic partial differential equations
• Multilevel Monte Carlo Methods for Stochastic Elliptic Multiscale PDEs
• Multilevel Monte Carlo Path Simulation
• Stabilized multilevel Monte Carlo method for stiff stochastic differential equations
• Stochastic Equations in Infinite Dimensions
• Stochastic partial differential equations
• Stochastic Partial Differential Equations with Levy Noise
• Strong and weak approximation of semilinear stochastic evolution equations
• Strong convergence of the finite element method with truncated noise for semilinear parabolic stochastic equations with additive noise
• The Mathematical Theory of Finite Element Methods
• The numerical approximation of stochastic partial differential equations

Cited in

(2)

• Efficient White Noise Sampling and Coupling for Multilevel Monte Carlo with Nonnested Meshes
• Rapid covariance-based sampling of linear SPDE approximations in the multilevel Monte Carlo method

This page was built for publication: Rapid Covariance-Based Sampling of Linear SPDE Approximations in the Multilevel Monte Carlo Method

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5117943)