Efficient White Noise Sampling and Coupling for Multilevel Monte Carlo with Nonnested Meshes
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Publication:4611530
DOI10.1137/18M1175239MaRDI QIDQ4611530
Marie E. Rognes, Matteo Croci, Michael B. Giles, Patrick E. Farrell
Publication date: 21 January 2019
Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1803.04857
finite elementswhite noisemultilevel Monte Carlopartial differential equations with random coefficientsnonnested meshesMatérn Gaussian fields
Random fields (60G60) Monte Carlo methods (65C05) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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Uses Software
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