A multi level Monte Carlo method with control variate for elliptic PDEs with log-normal coefficients

DOI10.1007/s40072-015-0055-9zbMath1334.60133OpenAlexW2111718517MaRDI QIDQ744882

Fabio Nobile, Francesco Tesei

Publication date: 12 October 2015

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/s40072-015-0055-9

zbMATH Keywords

control variatestochastic collocationmulti-level Monte Carlo methodlog-normal random-fieldsMatérn covariancestochastic Darcy problem

Mathematics Subject Classification ID

Random fields (60G60) Gaussian processes (60G15) Monte Carlo methods (65C05) Error bounds for boundary value problems involving PDEs (65N15) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Applications of stochastic analysis (to PDEs, etc.) (60H30) 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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