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

  title={Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients},
  author={Aretha L. Teckentrup and Robert Scheichl and Michael B. Giles and Elisabeth Ullmann},
  journal={Numerische Mathematik},
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 problems, posed on non–smooth domains and with discontinuities in the coefficient. For this wider class of… CONTINUE READING
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