Efficient white noise sampling and coupling for multilevel Monte Carlo with nonnested meshes
When solving stochastic partial differential equations (SPDEs) driven by additive spatial white noise, the efficient sampling of white noise realizations can be challenging. Here, we present a new sampling technique that can be used to efficiently compute white noise samples in a finite element meth...
| Main Authors: | , , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Society for Industrial and Applied Mathematics
2018
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