Estimation of arbitrary order central statistical moments by the multilevel Monte Carlo method

DOI10.1007/s40072-015-0063-9zbMath1375.65011OpenAlexW2282220917MaRDI QIDQ507012

Claudio Bierig, Alexey Chernov

Publication date: 3 February 2017

Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40072-015-0063-9

zbMATH Keywords

convergencestochastic partial differential equationsvariancenumerical experimentcovarianceuncertainty quantificationrough surfacevariation inequalitiescentral statistical moments of arbitrary ordermultilevel Monte Carlo algorithmsrandom obstacle

Mathematics Subject Classification ID

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