Multilevel Monte Carlo estimators for elliptic PDEs with Lévy-type diffusion coefficient

DOI10.1007/s10543-022-00912-4OpenAlexW3187402453WikidataQ114227186 ScholiaQ114227186MaRDI QIDQ2100538

Andrea Barth, Robin Merkle

Publication date: 22 November 2022

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2108.05604

zbMATH Keywords

subordinationstochastic partial differential equationsfinite element methodsmultilevel Monte Carlocontrol variatescirculant embeddingLévy fieldsdiscontinuous random fields

Mathematics Subject Classification ID

Random fields (60G60) Monte Carlo methods (65C05) Flows in porous media; filtration; seepage (76S05) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Random operators and equations (aspects of stochastic analysis) (60H25) 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) Jump processes on discrete state spaces (60J74) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

Related Items (1)

On properties and applications of Gaussian subordinated Lévy fields

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