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math.NA2017
Stochastic subspace correction in Hilbert space
Michael Griebel, Peter Oswald
We consider an incremental approximation method for solving variational problems in infinite-dimensional Hilbert spaces, where in each step a randomly and independently selected su…
math.NA2017
On the expected uniform error of Brownian motion approximated by the Lévy-Ciesielski construction
Bruce Brown, Michael Griebel, Frances Y. Kuo +1
It is known that the Brownian bridge or Lévy-Ciesielski construction of Brownian paths almost surely converges uniformly to the true Brownian path. In the present article the focus…