A Simple, Bias-free Approximation of Covariance Functions by the Multilevel Monte Carlo Method Having Nearly Optimal Complexity
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Publication:6062233
DOI10.1137/22m1506845MaRDI QIDQ6062233
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Publication date: 30 November 2023
Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)
Analysis of algorithms and problem complexity (68Q25) Monte Carlo methods (65C05) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Numerical solutions to stochastic differential and integral equations (65C30)
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