Direct and Inverse Problems for PDEs with Random Coefficients - Abstract

Harbrecht, Helmut

Multilevel accelerated quadrature for elliptic partial differential equations with random diffusion

This talk is concerned with multilevel quadrature methods for the solution of elliptic partial differential equations with random diffusion. The key idea of these approaches is the sparse tensor product approximation between the spatial variable and the stochastic variable. Our framework covers the multilevel Monte Carlo method and the multilevel quasi-Monte Carlo method as special cases. The presented theory is supplemented by numerical experiments.