A multilevel Monte Carlo finite difference method for random scalar degenerate convection–diffusion equations

DOI10.1142/S021989161750014XzbMath1373.35179OpenAlexW2755927748MaRDI QIDQ4588797

Franziska Weber, Ujjwal Koley, Christoph Schwab, Nils Henrik Risebro

Publication date: 2 November 2017

Published in: Journal of Hyperbolic Differential Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021989161750014x

zbMATH Keywords

rate of convergenceMonte Carlo methodfinite difference schemesrandom entropy solutiondegenerate convection-diffusion equation

Mathematics Subject Classification ID

Degenerate parabolic equations (35K65) Stability and convergence of numerical methods for ordinary differential equations (65L20) Finite difference and finite volume methods for ordinary differential equations (65L12)

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Convergence of a spectral method for the stochastic incompressible Euler equations, Compressible fluid motion with uncertain data, A fractional degenerate parabolic-hyperbolic Cauchy problem with noise, Convergence of a stochastic collocation finite volume method for the compressible Navier-Stokes system, A convergent finite volume scheme for the stochastic barotropic compressible Euler equations, The Cauchy problem for fractional conservation laws driven by Lévy noise, Convergence and error analysis of compressible fluid flows with random data: Monte Carlo method, Monte Carlo convergence rates for \(k\)th moments in Banach spaces, Stochastic degenerate fractional conservation laws, Fourth-order compact finite difference method for solving two-dimensional convection-diffusion equation, Multilevel Monte Carlo Finite Difference Methods for Fractional Conservation Laws with Random Data, Correction to: ``Multilevel Monte Carlo front-tracking for random scalar conservation laws, Multilevel Monte Carlo finite volume methods for random conservation laws with discontinuous flux, Numerical Solution of Scalar Conservation Laws with Random Flux Functions, Statistical solutions of hyperbolic systems of conservation laws: Numerical approximation

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