The optimal multilevel Monte-Carlo approximation of the stochastic drift-diffusion-Poisson system

DOI10.1016/j.cma.2017.02.014zbMath1439.65218arXiv1610.04521OpenAlexW2539153987MaRDI QIDQ2309786

Clemens Heitzinger, Leila Taghizadeh, Amirreza Khodadadian

Publication date: 6 April 2020

Published in: Computer Methods in Applied Mechanics and Engineering (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1610.04521

zbMATH Keywords

existence and uniquenessoptimal methodstochastic drift-diffusion-Poisson systemmulti-level Monte-Carlo finite-element method

Mathematics Subject Classification ID

Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75) Monte Carlo methods (65C05) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (4)

Probabilistic failure mechanisms via Monte Carlo simulations of complex microstructures ⋮ An adaptive multilevel Monte Carlo algorithm for the stochastic drift-diffusion-Poisson system ⋮ Optimal multilevel randomized quasi-Monte-Carlo method for the stochastic drift-diffusion-Poisson system ⋮ A multilevel Monte Carlo finite element method for the stochastic Cahn-Hilliard-Cook equation

Cites Work

• A one-level FETI method for the drift-diffusion-Poisson system with discontinuities at an interface
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• Finite Element Error Analysis of Elliptic PDEs with Random Coefficients and Its Application to Multilevel Monte Carlo Methods
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