Multilevel Monte Carlo Methods for Stochastic Elliptic Multiscale PDEs

DOI10.1137/120894725zbMath1296.65008OpenAlexW2105425058MaRDI QIDQ5411170

Christoph Schwab, Andrea Barth, Assyr Abdulle

Publication date: 22 April 2014

Published in: Multiscale Modeling & Simulation (Search for Journal in Brave)

Full work available at URL: http://infoscience.epfl.ch/record/182185

zbMATH Keywords

convergencestochastic partial differential equationsscale separationnumerical resultmultilevel Monte Carlo methodstochastic finite element methodsscale resolutionmultilevel approximationsheterogeneous multiscale finite element methods

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Uses Software

• OpenMPI

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