A MULTIMODES MONTE CARLO FINITE ELEMENT METHOD FOR ELLIPTIC PARTIAL DIFFERENTIAL EQUATIONS WITH RANDOM COEFFICIENTS
A MULTIMODES MONTE CARLO FINITE ELEMENT METHOD FOR ELLIPTIC PARTIAL DIFFERENTIAL EQUATIONS WITH RANDOM COEFFICIENTS
This paper develops and analyzes an efficient numerical method for solving elliptic partial differential equations, where the diffusion coefficients are random perturbations of deterministic diffusion coefficients. The method is based upon a multimodes representation of the solution as a power series of the perturbation parameter, and the Monte Carlo technique …