Related papers: A Probabilistic Numerical Method for Fully Nonline…
The efficient simulation of the mean value of a non-linear functional of the solution to a linear stochastic partial differential equation (SPDE) with additive Gaussian noise is considered. A Galerkin finite element method is employed along…
We present an efficient numerical scheme based on Monte Carlo integration to approximate statistical solutions of the incompressible Euler equations. The scheme is based on finite volume methods, which provide a more flexible framework than…
The numerical solution of large-scale PDEs, such as those occurring in data-driven applications, unavoidably require powerful parallel computers and tailored parallel algorithms to make the best possible use of them. In fact, considerations…
In the theory and practice of inverse problems for partial differential equations (PDEs) much attention is paid to the problem of the identification of coefficients from some additional information. This work deals with the problem of…
A comprehensive convergence and stability analysis of some probabilistic numerical methods designed to solve Cauchy-type inverse problems is performed in this study. Such inverse problems aim at solving an elliptic partial differential…
Partial differential equation is a powerful tool to characterize various physics systems. In practice, measurement errors are often present and probability models are employed to account for such uncertainties. In this paper, we present a…
We consider a convexity constrained Hamilton-Jacobi-Bellman-type obstacle problem for the value function of a zero-sum differential game with asymmetric information. We propose a convexity-preserving probabilistic numerical scheme for the…
We provide a representation result of parabolic semi-linear PD-Es, with polynomial nonlinearity, by branching diffusion processes. We extend the classical representation for KPP equations, introduced by Skorokhod (1964), Watanabe (1965) and…
We propose and analyze a method for computing failure probabilities of systems modeled as numerical deterministic models (e.g., PDEs) with uncertain input data. A failure occurs when a functional of the solution to the model is below (or…
We propose a method for the approximation of solutions of PDEs with stochastic coefficients based on the direct, i.e., non-adapted, sampling of solutions. This sampling can be done by using any legacy code for the deterministic problem as a…
This survey paper is focused on qualitative and numerical analyses of fully nonlinear partial differential equations of parabolic type arising in financial mathematics. The main purpose is to review various non-linear extensions of the…
The goal of this paper is to study convergence and error estimates of the Monte Carlo method for the Navier-Stokes equations with random data. To discretize in space and time, the Monte Carlo method is combined with a suitable deterministic…
Nonlinear stochastic differential equations (NSDEs) are a pillar of mathematical modeling for scientific and engineering applications. Accurate and efficient simulation of large-scale NSDEs is prohibitive on classical computers due to the…
We propose and study a scheme combining the finite element method and machine learning techniques for the numerical approximations of coupled nonlinear forward-backward stochastic partial differential equations (FBSPDEs) with homogeneous…
We study the numerical approximation of a class of degenerate parabolic stochastic partial differential equations on non-compact metric graphs, which naturally arise in the asymptotic analysis of Hamiltonian flows under small noise…
We propose an approximation scheme for a class of semilinear parabolic equations that are convex and coercive in their gradients. Such equations arise often in pricing and portfolio management in incomplete markets and, more broadly, are…
A space-discretization for the elastic flow of inextensible curves is devised and quasi-optimal convergence of the corresponding semi-discrete problem is proved for a suitable discretization of the nonlinear inextensibility constraint.…
This paper analyzes a full discretization of a three-dimensional stochastic Allen-Cahn equation with multiplicative noise. The discretization combines the Euler scheme for temporal approximation and the finite element method for spatial…
We study an optimal control problem under uncertainty, where the target function is the solution of an elliptic partial differential equation with random coefficients, steered by a control function. The robust formulation of the…
Stochastic Differential Equations (SDEs) are used as statistical models in many disciplines. However, intractable likelihood functions for SDEs make inference challenging, and we need to resort to simulation-based techniques to estimate and…