Multilevel Monte Carlo front-tracking for random scalar conservation laws
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Date
2016-03
Publication Type
Journal Article
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yes
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Abstract
We consider random scalar hyperbolic conservation laws in spatial dimension $d ≥ 1$ with bounded random flux functions which are Lipschitz continuous with respect to the state variable, for which there exists a unique random entropy solution. We present a convergence analysis of a multilevel Monte Carlo front-tracking algorithm. It is based on “pathwise” application of the front-tracking method for deterministic conservation laws. Due to the first order convergence of front tracking, we obtain an improved complexity estimate in one space dimension.
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published
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Journal / series
Volume
56 (1)
Pages / Article No.
263 - 292
Publisher
Springer
Event
Edition / version
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Software
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Date collected
Date created
Subject
Conservation laws; Random flux; Front tracking; Monte Carlo method
Organisational unit
03435 - Schwab, Christoph / Schwab, Christoph
Notes
Funding
247277 - Automated Urban Parking and Driving (EC)
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