Multilevel Monte Carlo estimators for elliptic PDEs with Lévy-type diffusion coefficient

نویسندگان

چکیده

General elliptic equations with spatially discontinuous diffusion coefficients may be used as a simplified model for subsurface flow in heterogeneous or fractured porous media. In such model, data sparsity and measurement errors are often taken into account by randomization of the coefficient equation which reveals necessity construction flexible, random fields. Subordinated Gaussian fields functions on higher dimensional parameter domains sample paths great distributional flexibility. present work, we consider partial differential (PDE) where subordinated occur coefficient. Problem specific multilevel Monte Carlo (MLMC) Finite Element methods constructed to approximate mean solution PDE. We prove a-priori convergence standard MLMC estimator modified - Control Variate validate our results various numerical examples.

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Multilevel Monte Carlo Methods for Stochastic Elliptic Multiscale PDEs

In this paper Monte Carlo Finite Element (MC FE) approximations for elliptic homogenization problems with random coefficients which oscillate on n ∈ N a-priori known, separated length scales are considered. The convergence of multilevel MC FE (MLMC FE) discretizations is analyzed. In particular, it is considered that the multilevel FE discretization resolves the finest physical length scale, bu...

متن کامل

Multilevel Monte Carlo for exponential Lévy models

We apply the multilevel Monte Carlo method for option pricing problems using exponential Lévy models with a uniform timestep discretisation. For lookback and barrier options, we derive estimates of the convergence rate of the error introduced by the discrete monitoring of the running supremum of a broad class of Lévy processes. We then use these to obtain upper bounds on the multilevel Monte Ca...

متن کامل

Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients

We consider the application of multilevel Monte Carlo methods to elliptic PDEs with random coefficients. We focus on models of the random coefficient that lack uniform ellipticity and boundedness with respect to the random parameter, and that only have limited spatial regularity. We extend the finite element error analysis for this type of equation, carried out in [6], to more difficult problem...

متن کامل

Multilevel Monte Carlo analysis for optimal control of elliptic PDEs with random coefficients

This work is motivated by the need to study the impact of data uncertainties and material imperfections on the solution to optimal control problems constrained by partial differential equations. We consider a pathwise optimal control problem constrained by a diffusion equation with random coefficient together with box constraints for the control. For each realization of the diffusion coefficien...

متن کامل

Tractability of the Quasi-Monte Carlo Quadrature with Halton Points for Elliptic Pdes with Random Diffusion

This article is dedicated to the computation of the moments of the solution to stochastic partial differential equations with log-normal distributed diffusion coefficient by the Quasi-Monte Carlo method. Our main result is the polynomial tractability for the QuasiMonte Carlo method based on the Halton sequence. As a by-product, we obtain also the strong tractability of stochastic partial differ...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Bit Numerical Mathematics

سال: 2022

ISSN: ['0006-3835', '1572-9125']

DOI: https://doi.org/10.1007/s10543-022-00912-4