A Multilevel Monte Carlo Algorithm for Parabolic Advection-Diffusion Problems with Discontinuous Coefficients

DOI10.1007/978-3-030-43465-6_22OpenAlexW3022700862MaRDI QIDQ5117944FDOQ5117944

Andrea Barth, Andreas Stein

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/1902.02129

zbMATH Keywords

porous mediaparabolic equationmultilevel Monte Carlo methodadvection-diffusion equationfractured mediaflow in heterogeneous mediajump-diffusion coefficientnon-continuous random fields

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Cites Work

• Fast simulation of Gaussian random fields
• Title not available (Why is that?)
• Multilevel Monte Carlo Path Simulation
• Hitchhiker's guide to the fractional Sobolev spaces
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• Finite Element Error Analysis of Elliptic PDEs with Random Coefficients and Its Application to Multilevel Monte Carlo Methods
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• Circulant embedding with QMC: analysis for elliptic PDE with lognormal coefficients
• Multilevel Monte Carlo Methods
• Unbiased estimation with square root convergence for SDE models
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• Approximation and simulation of infinite-dimensional Lévy processes
• Analysis of Circulant Embedding Methods for Sampling Stationary Random Fields
• Optimal model management for multifidelity Monte Carlo estimation
• A Study of Elliptic Partial Differential Equations with Jump Diffusion Coefficients

Cited In (3)

• On MultiScale ADI Methods for Parabolic PDEs with a Discontinuous Coefficient
• Multilevel Monte Carlo estimators for elliptic PDEs with Lévy-type diffusion coefficient
• Subordinated Gaussian random fields in elliptic partial differential equations

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