Multi-index Monte Carlo method for semilinear stochastic partial differential equations

Abstract: We present an exponential-integrator based multi-index Monte Carlo method (MIMC) for weak approximations of semilinear stochastic partial differential equations (SPDE). We explore recent theoretical results on multi-index-coupled solutions of SPDEs, showing that such couplings are stable and satisfy multiplicative error estimates, and describe how this theory can be utilized to produce a tractable Monte Carlo method for weak approximations. Numerical examples illustrating the performance of MIMC will also be included.

numerical analysisoptimization and control

Audience: researchers in the topic

( paper )

CAM seminar

Series comments: Online streaming via zoom on exceptional cases if requested. Please contact the organizers at the latest Monday 11:45.