Multilevel Accelerated Quadrature for PDEs with Log-Normally Distributed Diffusion Coefficient

DOI10.1137/130931953zbMath1343.65006OpenAlexW2345506460MaRDI QIDQ5741190

M. Siebenmorgen, Helmut Harbrecht, Michael D. Multerer

Publication date: 22 July 2016

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://edoc.unibas.ch/42573/3/20160504094312_5729a810b10a1.pdf

zbMATH Keywords

error estimatesfinite element methodstochastic partial differential equationsMonte Carlo methodnumerical experimentKarhunen-Loève expansionmultilevel quadraturePDEs with stochastic datalog-normal diffusion

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) 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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