Multi-level Monte Carlo Finite Element method for elliptic PDEs with stochastic coefficients

Author:

Barth Andrea,Schwab Christoph,Zollinger Nathaniel

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Computational Mathematics

Reference34 articles.

1. Babuška I., Nobile F., Tempone R.: A stochastic collocation method for elliptic partial differential equations with random input data. SIAM J. Numer. Anal. 45, 1005–1034 (2007, electronic)

2. Babuška, I., Tempone, R., Zouraris, G.E.: Galerkin Finite Element approximations of stochastic elliptic partial differential equations. SIAM J. Numer. Anal., 42, 800–825 (2004, electronic)

3. Barth A.: A Finite Element Method for martingale-driven stochastic partial differential equations. Commun. Stoch. Anal. 4, 355–375 (2010)

4. Barth, A., Lang, A.: Almost sure convergence of a Galerkin–Milstein approximation for stochastic partial differential equations. Tech. Report 2011–15. Seminar for Applied Mathematics, ETH Zurich, March 2009 (in review)

5. Barth, A., Lang, A.: Simulation of stochastic partial differential equations using Finite Element methods. Stochastics (2010, in press)

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