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Adaptive Multilevel Monte Carlo Methods for Stochastic Variational Inequalities
13 references·1 citing·31 second hop
Adaptive Multilevel Monte Carlo Methods for Stochastic Variational Inequalities (2018)Adaptive Multilevel Monte Carlo Methods f…A Multilevel Monte Carlo Method for Computing Failure Probabilities (2016)A Multilevel Monte Carlo Meth…Convergence analysis of multilevel Monte Carlo variance estimators and application for random obstacle problems (2014)Convergence analysis of multi…A continuation multilevel Monte Carlo algorithm (2014)A continuation multilevel Mon…Implementation and analysis of an adaptive multilevel Monte Carlo algorithm (2013)Implementation and analysis o…Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients (2013)Further analysis of multileve…Finite Element Error Analysis of Elliptic PDEs with Random Coefficients and Its Application to Multilevel Monte Carlo Methods (2013)Finite Element Error Analysis…Multilevel Monte Carlo method for parabolic stochastic partial differential equations (2012)Multilevel Monte Carlo method…Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients (2011)Multilevel Monte Carlo method…Multi-level Monte Carlo Finite Element method for elliptic PDEs with stochastic coefficients (2011)Multi-level Monte Carlo Finit…A Stochastic Collocation Method for Elliptic Partial Differential Equations with Random Input Data (2010)A Stochastic Collocation Meth…Multilevel Monte Carlo Path Simulation (2008)Multilevel Monte Carlo Path S…Galerkin Finite Element Approximations of Stochastic Elliptic Partial Differential Equations (2004)Galerkin Finite Element Appro…The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations (2002)The Wiener--Askey Polynomial …A fully adaptive multilevel stochastic collocation strategy for solving elliptic PDEs with random data (2020)A fully adaptive multilevel s…Stochastic Finite Elements: A Spectral Approach (1991)Global sensitivity analysis using polynomial chaos expansions (2007)Adaptive sparse polynomial chaos expansion based on least angle regression (2010)Stochastic Differential Equations (1998)Monte Carlo Methods in Financial Engineering (2003)A Multilevel Stochastic Collocation Method for Partial Differential Equations with Random Input Data (2015)Unbiased Estimation with Square Root Convergence for SDE Models (2015)Fast Bayesian experimental design: Laplace-based importance sampling for the expected information gain (2018)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)Stochastic finite element methods for partial differential equations with random input data (2014)Stochastic Partial Differential Equations with Levy Noise (2007)An Adaptive Wavelet Stochastic Collocation Method for Irregular Solutions of Partial Differential Equations with Random Input Data (2014)Brownian motion and stochastic calculus (2017)Multilevel Richardson–Romberg extrapolation (2017)Random vibration and statistical linearization (1990)Verification and Validation in Computational Science and Engineering (1998)Galerkin methods for linear and nonlinear elliptic stochastic partial differential equations (2004)Uncertainty Quantification and Polynomial Chaos Techniques in Computational Fluid Dynamics (2008)An Introduction to Computational Stochastic PDEs (2014)High-Order Collocation Methods for Differential Equations with Random Inputs (2005)Recent Developments in Spectral Stochastic Methods for the Numerical Solution of Stochastic Partial Differential Equations (2009)An adaptive high-dimensional stochastic model representation technique for the solution of stochastic partial differential equations (2010)Numerical Methods for Stochastic Computations: A Spectral Method Approach (2010)Spectral Methods for Uncertainty Quantification (2010)Optimal Model Management for Multifidelity Monte Carlo Estimation (2016)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients (2012)Numerical solution of stochastic differential equations (2016)Multifidelity approaches for optimization under uncertainty (2014)Strong and Weak Error Estimates for Elliptic Partial Differential Equations with Random Coefficients (2012)
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  • 2020

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A fully adaptive multilevel stochastic collocation strategy for solving elliptic PDEs with random data
14 cited