Improved efficiency of multilevel Monte Carlo for stochastic PDE through strong pairwise coupling
DOI10.1007/s10915-022-02031-2OpenAlexW3190602470MaRDI QIDQ2103434
Håkon Hoel, Ajay Jasra, Georgios E. Zouraris, Neil K. Chada
Publication date: 13 December 2022
Published in: Journal of Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2108.00794
stochastic partial differential equationsexponential Euler methodmultilevel Monte Carlo methodweak approximations
Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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