Search: onr:"swepub:oai:research.chalmers.se:7a3b7dc2-7cd5-4121-ae0c-0cfe51b1f793" >
A Note on the Impor...
Table of contents
Abstract
Subject headings
Close
No table of content available
- 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.
Subject headings
- 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)
Keyword
- Stochastic heat equation
- Weak error analysis
- Multilevel Monte Carlo methods
- Stochastic partial differential equations
- Finite element approximations
Publication and Content Type
- kon (subject category)
- ref (subject category)
Find in a library
To the university's database