• Media type: Report; E-Book
  • Title: Multilevel Monte-Carlo front-tracking for random scalar conservation laws
  • Contributor: Risebro, Nils Henrik [Author]; Schwab, Christoph [Author]; Weber, Franziska [Author]
  • Published: Seminar for Applied Mathematics, ETH Zurich, 2012-10
  • Published in: SAM Research Report, 2012-17
  • Language: English
  • DOI: https://doi.org/20.500.11850/154927; https://doi.org/10.3929/ethz-a-010387131
  • Keywords: Mathematics
  • Origination:
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  • Description: We consider random scalar hyperbolic conservation laws (RSCLs) in spatial dimension $d\ge 1$ with bounded random flux functions which are $\mathbb{P}$-a.s. Lipschitz continuous with respect to the state variable, for which there exists a unique random entropy solution (i.e., a measurable mapping from the probability space into $C(0,T;L^1(\mathbb{R}^d))$ with finite second moments). We present a convergence analysis of a Multi-Level Monte-Carlo Front-Tracking (MLMCFT) algorithm. Due to the first order convergence of front tracking, we obtain an improved complexity estimate in one space dimension.
  • Access State: Open Access
  • Rights information: In Copyright - Non-commercial Use Permitted