A MULTIGRID MULTILEVEL MONTE CARLO METHOD USING HIGH-ORDER FINITE-VOLUME SCHEME FOR LOGNORMAL DIFFUSION PROBLEMS

DOI10.1615/Int.J.UncertaintyQuantification.2016018677zbMath1498.65190MaRDI QIDQ5052300

Prashant Kumar, Richard P. Dwight, Cornelis W. Oosterlee

Publication date: 24 November 2022

Published in: International Journal for Uncertainty Quantification (Search for Journal in Brave)

Mathematics Subject Classification ID

Multigrid methods; domain decomposition for boundary value problems involving PDEs (65N55) Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75) Monte Carlo methods (65C05) Boundary value problems for second-order elliptic equations (35J25) PDEs with randomness, stochastic partial differential equations (35R60) Numerical solutions to stochastic differential and integral equations (65C30) Finite volume methods for boundary value problems involving PDEs (65N08)

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