Optimal Choices of Correlation Operators in Brownian Simulation Methods

DOI10.1137/070702618zbMath1159.60337OpenAlexW1995938460MaRDI QIDQ3616295

Yossi Shamai, Raz Kupferman

Publication date: 24 March 2009

Published in: Multiscale Modeling & Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/070702618

zbMATH Keywords

semidefinite programmingspatial correlationsSPDEsBrownian simulations

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Brownian motion (60J65) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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