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A Note on the Impor...
A Note on the Importance of Weak Convergence Rates for SPDE Approximations in Multilevel Monte Carlo Schemes
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- Lang, Annika, 1980 (författare)
- Gothenburg University,Göteborgs universitet,Institutionen för matematiska vetenskaper, matematisk statistik,Department of Mathematical Sciences, Mathematical Statistics
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(creator_code:org_t)
- ISBN 9783319335056
- 2016-06-14
- 2016
- Engelska.
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Ingår i: Springer Proceedings in Mathematics and Statistics. - Cham : Springer International Publishing. - 2194-1017 .- 2194-1009. - 9783319335056 ; 163, s. 489-505
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Innehållsförteckning
Abstract
Ämnesord
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- It is a well-known rule of thumb that approximations of stochastic partial differential equations have essentially twice the order of weak convergence compared to the corresponding order of strong convergence. This is already known for many approximations of stochastic (ordinary) differential equations while it is recent research for stochastic partial differential equations. In this note it is shown how the availability of weak convergence results influences the number of samples in multilevel Monte Carlo schemes and therefore reduces the computational complexity of these schemes for a given accuracy of the approximations.
Ämnesord
- NATURVETENSKAP -- Matematik (hsv//swe)
- NATURAL SCIENCES -- Mathematics (hsv//eng)
- NATURVETENSKAP -- Matematik -- Beräkningsmatematik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Computational Mathematics (hsv//eng)
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Nyckelord
- Stochastic heat equation
- Weak error analysis
- Multilevel Monte Carlo methods
- Stochastic partial differential equations
- Finite element approximations
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- ref (ämneskategori)
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