Analysis of Multi-Index Monte Carlo Estimators for a Zakai SPDE

zbMath1413.65010arXiv1612.02811MaRDI QIDQ4688171

Zhen-Ru Wang, Christoph Reisinger

Publication date: 22 October 2018

Full work available at URL: https://arxiv.org/abs/1612.02811

zbMATH Keywords

parabolic stochastic partial differential equationsZakai equationmultilevel Monte Carlomulti-index Monte Carlostochastic finite differences

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (3)

Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE ⋮ Improved Efficiency of a Multi-Index FEM for Computational Uncertainty Quantification ⋮ Analysis of sparse grid multilevel estimators for multi-dimensional Zakai equations

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