142 citations · 696 across the 46 of their papers we have counts for
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Multilevel Quasi-Monte Carlo Methods for Lognormal Diffusion Problems
Frances Y. Kuo, Robert Scheichl, Christoph Schwab +2
In this paper we present a rigorous cost and error analysis of a multilevel estimator based on randomly shifted Quasi-Monte Carlo (QMC) lattice rules for lognormal diffusion proble…
Covariance structure of parabolic stochastic partial differential equations with multiplicative Lévy noise
Kristin Kirchner, Annika Lang, Stig Larsson
The characterization of the covariance function of the solution process to a stochastic partial differential equation is considered in the parabolic case with multiplicative Lévy n…
Fast QMC matrix-vector multiplication
Josef Dick, Frances Y. Kuo, Quoc T. Le Gia +1
Quasi-Monte Carlo (QMC) rules can be used to approximate integrals of the form $\int_{[0,1]^s} f(\boldsymbol{y} A) \,\mathrm{d} \boldsy…
Compressive Space-Time Galerkin Discretizations of Parabolic Partial Differential Equations
Stig Larsson, Christoph Schwab
We study linear parabolic initial-value problems in a space-time variational formulation based on fractional calculus. This formulation uses "time derivatives of order one half" on…