Quantifying uncertain system outputs via the multilevel Monte Carlo method. I: Central moment estimation

DOI10.1016/J.JCP.2020.109466zbMath1440.65008OpenAlexW3019293565MaRDI QIDQ2194312

Fabio Nobile, Sebastian Krumscheid, M. Pisaroni

Publication date: 25 August 2020

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jcp.2020.109466

zbMATH Keywords

uncertainty quantificationcentral momentsmultilevel Monte Carlo\(h\)-statistic

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Transonic flows (76H05) Stochastic analysis applied to problems in fluid mechanics (76M35) PDEs with randomness, stochastic partial differential equations (35R60) Portfolio theory (91G10)

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• Multilevel Monte Carlo Path Simulation
• A Posteriori Error Estimates for Nonlinear Problems. Finite Element Discretizations of Elliptic Equations
• The Theory of Unbiased Estimation

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