The multilevel Monte Carlo methods with applications to stochastic partial differential equations

Annika Lang
Mathematical Sciences
Chalmers University of Technology
Göteborg

Abstract:

The multilevel Monte Carlo method has been given much attention in recent years. This special version of a Monte Carlo method leads to computationally more efficient simulations of expected values of random variables in various applications. In this talk I will give an introduction to multilevel Monte Carlo in general and show for the special application of stochastic partial differential equations how the method decreases the computing times of expectations essentially while keeping the approximation errors constant.