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Computational Aspects of Lévy-Driven SPDE Approximations
Licentiate thesis, 2017

Lévy processes

multiplicative noise

multilevel Monte Carlo

weak convergence

numerical approximation of stochastic differential equations

finite element method

variance redons

Monte Carlo

## Author

### Andreas Petersson

Chalmers, Mathematical Sciences, Applied Mathematics and Statistics

### Monte Carlo versus multilevel Monte Carlo in weak error simulations of SPDE approximations

Mathematics and Computers in Simulation,; Vol. 143(2018)p. 99-113

**Journal article**

### Mean-square stability analysis of approximations of stochastic differential equations in infinite dimensions

BIT Numerical Mathematics,; Vol. 57(2017)p. 963-990

**Journal article**

### Subject Categories

Computational Mathematics

Probability Theory and Statistics

### Infrastructure

C3SE (Chalmers Centre for Computational Science and Engineering)

### Publisher

Chalmers University of Technology

Euler, Skeppsgränd 3, Chalmers

Opponent: Associate Prof. David Cohen, Department of Mathematics and Mathematical Statistics, Umeå University, Sweden