Multilevel Monte Carlo Methods
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DOI10.1007/978-3-642-41095-6_4zbMath1302.65004arXiv1304.5472OpenAlexW2949063410MaRDI QIDQ2926211
Publication date: 31 October 2014
Published in: Acta Numerica, Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1304.5472
convergencenumerical examplessurvey papermultilevel Monte Carlo methodmultilevel Monte Carlo methodsmultilevel correction variance
Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75) Monte Carlo methods (65C05) Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)
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