Monte Carlo Finite Element method

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

FREE-DOWNLOAD [PDF] A Barth, C Schwab… – Numerische Mathematik, 2010
Abstract In Monte Carlo methods quadrupling the sample size halves the error. In simulations
of stochastic partial differential equations (SPDEs), the total work is the sample size times the
solution cost of an instance of the partial differential equation. A Multi-level Monte Carlo