Related papers: Multi-level higher order QMC Galerkin discretizati…

We address the approximation of functionals depending on a system of particles, described by stochastic differential equations (SDEs), in the mean-field limit when the number of particles approaches infinity. This problem is equivalent to…

We explore the application of the quasi-Monte Carlo (QMC) method in deep backward dynamic programming (DBDP) (Hure et al. 2020) for numerically solving high-dimensional nonlinear partial differential equations (PDEs). Our study focuses on…

This work introduces finite element methods for a class of elliptic fully nonlinear partial differential equations. They are based on a minimal residual principle that builds upon the Alexandrov--Bakelman--Pucci estimate. Under rather…

Partial differential equation (PDE) models with multiple temporal/spatial scales are prevalent in several disciplines such as physics, engineering, and many others. These models are of great practical importance but notoriously difficult to…

This paper is concerned with developing accurate and efficient discontinuous Galerkin methods for fully nonlinear second order elliptic and parabolic partial differential equations (PDEs) in the case of one spatial dimension. The primary…

In this paper we investigate a priori error estimates for the space-time Galerkin finite element discretization of a simplified semilinear gradient enhanced damage model. The model equations are of a special structure as the state equation…

A wide variety of (fixed-point) iterative methods for the solution of nonlinear equations (in Hilbert spaces) exists. In many cases, such schemes can be interpreted as iterative local linearization methods, which, as will be shown, can be…

We present a unified analysis for a family of variational time discretization methods, including discontinuous Galerkin methods and continuous Galerkin-Petrov methods, applied to non-stiff initial value problems. Besides the…

This article proposes a new numerical algorithm for second order elliptic equations in non-divergence form. The new method is based on a discrete weak Hessian operator locally constructed by following the weak Galerkin strategy. The…

Numerical methods for random parametric PDEs can greatly benefit from adaptive refinement schemes, in particular when functional approximations are computed as in stochastic Galerkin and stochastic collocations methods. This work is…

In the first part of this paper we study approximations of trajectories of Piecewise Deter-ministic Processes (PDP) when the flow is not explicit by the thinning method. We also establish a strong error estimate for PDPs as well as a weak…

We study an iterative Galerkin method for quasilinear elliptic problems in the Browder-Minty setting. The resulting discrete nonlinear systems are solved by linearization via a (damped) Zarantonello iteration. Unlike prior work, adaptive…

Stochastic Galerkin methods offer unexplored potential for the numerical simulation of parabolic problems with random variables, in particular if they are combined with variational discretizations of the space and time variables. Due to the…

In a recent work (Dick et al, arXiv:2310.06187), we considered a linear stochastic elasticity equation with random Lam\'e parameters which are parameterized by a countably infinite number of terms in separate expansions. We estimated the…

We derive computable error estimates for finite element approximations of linear elliptic partial differential equations (PDE) with rough stochastic coefficients. In this setting, the exact solutions contain high frequency content that…

We study Bayesian inversion for a model elliptic PDE with unknown diffusion coefficient. We provide complexity analyses of several Markov Chain-Monte Carlo (MCMC) methods for the efficient numerical evaluation of expectations under the…

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…

Building on previous research which generalized multilevel Monte Carlo methods using either sparse grids or Quasi-Monte Carlo methods, this paper considers the combination of all these ideas applied to elliptic PDEs with finite-dimensional…

Quasi-Monte Carlo (QMC) method is a useful numerical tool for pricing and hedging of complex financial derivatives. These problems are usually of high dimensionality and discontinuities. The two factors may significantly deteriorate the…

We develop a multilevel Monte Carlo (MLMC)-FEM algorithm for linear, elliptic diffusion problems in polytopal domain $\mathcal D\subset \mathbb R^d$, with Besov-tree random coefficients. This is to say that the logarithms of the diffusion…