First order second moment analysis for stochastic interface problems based on low-rank approximation

DOI10.1051/m2an/2013079zbMath1297.65009OpenAlexW1978475940MaRDI QIDQ5397526

Jingzhi Li, Helmut Harbrecht

Publication date: 24 February 2014

Published in: ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/m2an/2013079

zbMATH Keywords

error estimatesMonte Carlo methodlow-rank approximationperturbation approachpivoted Cholesky decompositionstochastic elliptic interface problem

Mathematics Subject Classification ID

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)

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