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

DOI10.1007/978-3-030-43465-6_22MaRDI QIDQ5117944zbMATH OpenOpenAlexFDO

Authors Andreas Stein, Andrea Barth

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

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Cited in

(4)

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

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