Multilevel Monte Carlo for the Feynman-Kac formula for the Laplace equation

DOI10.1007/s10543-014-0543-8zbMath1347.60088arXiv1401.3891OpenAlexW2035060992MaRDI QIDQ906958

Stefan Pauli, Andreas Adelmann, Robert Nicholas Gantner, Peter Arbenz

Publication date: 1 February 2016

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1401.3891

zbMATH Keywords

Laplace equationFeynman-Kac formulamultilevel Monte Carlo methodwalk on spheres algorithm

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical methods for partial differential equations, boundary value problems (65N99)

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