Combining Space-Time Multigrid Techniques with Multilevel Monte Carlo Methods for SDEs

DOI10.1007/978-3-319-93873-8_47zbMath1450.65112OpenAlexW2907318937MaRDI QIDQ5114567

Andreas Thalhammer, Martin Neumüller

Publication date: 24 June 2020

Published in: Lecture Notes in Computational Science and Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-93873-8_47

zbMATH Keywords

stochastic differential equationsmultilevel Monte Carlo methodparallel methodspace-time multigrid

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Parallel numerical computation (65Y05) PDEs with randomness, stochastic partial differential equations (35R60) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55)

Related Items (1)

A Fully Parallelizable Space-Time Multilevel Monte Carlo Method for Stochastic Differential Equations with Additive Noise

Cites Work

• Duality in refined Sobolev-Malliavin spaces and weak approximation of SPDE
• An Introduction to Computational Stochastic PDEs
• A Note on the Importance of Weak Convergence Rates for SPDE Approximations in Multilevel Monte Carlo Schemes
• Multilevel Monte Carlo Path Simulation
• Simulation of stochastic partial differential equations using finite element methods
• Analysis of a New Space-Time Parallel Multigrid Algorithm for Parabolic Problems
• Stochastic Equations in Infinite Dimensions

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