Asymptotically Efficient Simulation of Elliptic Problems with Small Random Forcing

DOI10.1137/17M111643XzbMath1383.65005OpenAlexW2789029587MaRDI QIDQ4603510

Xiang Zhou, Xiaoliang Wan

Publication date: 21 February 2018

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/17m111643x

zbMATH Keywords

numerical exampleimportance samplingrare eventslarge deviation principlePoisson equationGaussian random fielduncertainty quantificationsmall random perturbation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Laplace operator, Helmholtz equation (reduced wave equation), Poisson equation (35J05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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