Monte Carlo versus multilevel Monte Carlo in weak error simulations of SPDE approximations
Journal article, 2018
(multilevel) Monte Carlo methods
Weak convergence
Upper and lower error bounds
Variance reduction techniques
Stochastic partial differential equations
Author
Annika Lang
Chalmers, Mathematical Sciences, Applied Mathematics and Statistics
University of Gothenburg
Andreas Petersson
University of Gothenburg
Chalmers, Mathematical Sciences, Applied Mathematics and Statistics
Published in
Mathematics and Computers in Simulation
0378-4754 (ISSN)
Vol. 143 p. 99-113Categorizing
Infrastructure
C3SE (Chalmers Centre for Computational Science and Engineering)
Subject Categories (SSIF 2011)
Probability Theory and Statistics
Identifiers
DOI
10.1016/j.matcom.2017.05.002