142 citations · 370 across the 21 of their papers we have counts for
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math.PR2015★ 11 cited
Monte Carlo versus multilevel Monte Carlo in weak error simulations of SPDE approximations
Annika Lang, Andreas Petersson
The simulation of the expectation of a stochastic quantity E[Y] by Monte Carlo methods is known to be computationally expensive especially if the stochastic quantity or its approxi…
math.PR2015★ 11 cited
A Note on the Importance of Weak Convergence Rates for SPDE Approximations in Multilevel Monte Carlo Schemes
Annika Lang
It is a well-known rule of thumb that approximations of stochastic partial differential equations have essentially twice the order of weak convergence compared to the corresponding…
math.PR2015★ 10 cited
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…