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

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

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

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 equation; Feynman-Kac formula; multilevel Monte Carlo method; walk on spheres algorithm

Mathematics Subject Classification ID

65C05: Monte Carlo methods

60H30: Applications of stochastic analysis (to PDEs, etc.)

65N99: Numerical methods for partial differential equations, boundary value problems