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Multilevel Monte Carlo method with applications to stochastic partial differential equations

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References

2008Multilevel Monte Carlo Path Simulation1,445 cited
2011Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients490 cited
2007Stochastic Partial Differential Equations with Levy Noise475 cited
2011Multi-level Monte Carlo Finite Element method for elliptic PDEs with stochastic coefficients296 cited
2012Sparse tensor multi-level Monte Carlo finite volume methods for hyperbolic conservation laws with random initial data142 cited
2012Stochastic Finite Differences and Multilevel Monte Carlo for a Class of SPDEs in Finance62 cited
2011A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations59 cited

Cited by

2013Multilevel Monte Carlo Methods33 cited
2014The forward dynamics in energy markets – infinite-dimensional modelling and simulation19 cited
2016Multilevel Monte Carlo Simulation of Statistical Solutions to the Navier–Stokes Equations7 cited
2018Ensemble Grouping Strategies for Embedded Stochastic Collocation Methods Applied to Anisotropic Diffusion Problems5 cited

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