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Intrinsic fault tolerance of multilevel Monte Carlo methods
8 references·1 citing·31 second hop
Intrinsic fault tolerance of multilevel Monte Carlo methods (2015)Intrinsic fault tolerance of multilevel M…A fault tolerant implementation of Multi-Level Monte Carlo methods (2013)A fault tolerant implementati…Static Load Balancing for Multi-level Monte Carlo Finite Volume Solvers (2012)Static Load Balancing for Mul…Sparse tensor multi-level Monte Carlo finite volume methods for hyperbolic conservation laws with random initial data (2012)Sparse tensor multi-level Mon…Multilevel Monte Carlo Finite Volume Methods for Shallow Water Equations with Uncertain Topography in Multi-dimensions (2012)Multilevel Monte Carlo Finite…Multi-level Monte Carlo finite volume methods for nonlinear systems of conservation laws in multi-dimensions (2012)Multi-level Monte Carlo finit…Sparse tensor discretizations of high-dimensional parametric and stochastic PDEs (2011)Sparse tensor discretizations…Multi-level Monte Carlo Finite Element method for elliptic PDEs with stochastic coefficients (2011)Multi-level Monte Carlo Finit…Multilevel Monte Carlo Path Simulation (2008)Multilevel Monte Carlo Path S…Multilevel Monte Carlo Simulation of Statistical Solutions to the Navier–Stokes Equations (2016)Multilevel Monte Carlo Simula…Multilevel Monte Carlo method for parabolic stochastic partial differential equations (2012)A Stochastic Collocation Method for Elliptic Partial Differential Equations with Random Input Data (2007)A Sparse Grid Stochastic Collocation Method for Partial Differential Equations with Random Input Data (2008)Finite Element Error Analysis of Elliptic PDEs with Random Coefficients and Its Application to Multilevel Monte Carlo Methods (2013)Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients (2013)Stochastic finite element methods for partial differential equations with random input data (2014)High-Order Collocation Methods for Differential Equations with Random Inputs (2005)An adaptive hierarchical sparse grid collocation algorithm for the solution of stochastic differential equations (2009)Multi-level Monte Carlo finite volume methods for uncertainty quantification of acoustic wave propagation in random heterogeneous layered medium (2016)Brownian motion and stochastic calculus (2017)Uncertainty Quantification for Hyperbolic Systems of Conservation Laws (2017)Uncertainty quantification for systems of conservation laws (2008)A Multilevel Stochastic Collocation Method for Partial Differential Equations with Random Input Data (2015)Stochastic Finite Elements: A Spectral Approach (1991)The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations (2002)Stochastic Integration and Differential Equations (2005)Adaptive stochastic Galerkin FEM (2013)Risk-Averse PDE-Constrained Optimization Using the Conditional Value-At-Risk (2016)Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems (2020)Proceedings of the 2004 Winter Simulation Conference, 2004. (2004)Multilevel Monte Carlo for two phase flow and Buckley–Leverett transport in random heterogeneous porous media (2013)Robust Uncertainty Propagation in Systems of Conservation Laws with the Entropy Closure Method (2013)Convergence analysis of multilevel Monte Carlo variance estimators and application for random obstacle problems (2014)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Monte Carlo Methods in Financial Engineering (2003)Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients (2012)Numerical solution of stochastic differential equations (2016)Optimal Model Management for Multifidelity Monte Carlo Estimation (2016)Multi-level Monte Carlo Finite Difference and Finite Volume Methods for Stochastic Linear Hyperbolic Systems (2013)Adaptive Load Balancing for Massively Parallel Multi-Level Monte Carlo Solvers (2014)Continuation Multilevel Monte Carlo Evolutionary Algorithm for Robust Aerodynamic Shape Design (2018)
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References

  • 2008Multilevel Monte Carlo Path Simulation1,445 cited
  • 2011Multi-level Monte Carlo Finite Element method for elliptic PDEs with stochastic coefficients296 cited
  • 2011Sparse tensor discretizations of high-dimensional parametric and stochastic PDEs260 cited
  • 2012Sparse tensor multi-level Monte Carlo finite volume methods for hyperbolic conservation laws with random initial data142 cited
  • 2012Multi-level Monte Carlo finite volume methods for nonlinear systems of conservation laws in multi-dimensions113 cited
  • 2012Multilevel Monte Carlo Finite Volume Methods for Shallow Water Equations with Uncertain Topography in Multi-dimensions48 cited
  • 2013A fault tolerant implementation of Multi-Level Monte Carlo methods26 cited
  • 2012Static Load Balancing for Multi-level Monte Carlo Finite Volume Solvers16 cited

Cited by

  • 2016Multilevel Monte Carlo Simulation of Statistical Solutions to the Navier–Stokes Equations7 cited

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