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We present a 3D hybrid method which combines the Finite Element Method (FEM) and the Spectral Boundary Integral method (SBIM) to model nonlinear problems in unbounded domains. The flexibility of FEM is used to model the complex,…
We introduce a new algorithm which we call the {Rational Hybrid Monte Carlo} Algorithm (RHMC). This method uses a rational approximation to the fermionic kernel together with a noisy Kennedy-Kuti acceptance step to give an efficient…
Expectations of path integrals of killed stochastic processes play a central role in several applications across physics, chemistry, and finance. Simulation-based evaluation of these functionals is often biased and numerically expensive due…
We provide an algorithm based on weighted-ensemble (WE) methods, to accurately sample systems at steady state. Applying our method to different one- and two-dimensional models, we succeed to calculate steady state probabilities of order…
The $d$-dimensional fractional Brownian motion (FBM for short) $B_t=((B_t^{(1)},...,B_t^{(d)}),t\in\mathbb{R})$ with Hurst exponent $\alpha$, $\alpha\in(0,1)$, is a $d$-dimensional centered, self-similar Gaussian process with covariance…
The signature is a collection of iterated integrals describing the "shape" of a path. It appears naturally in the Taylor expansions of controlled differential equations and, as a consequence, is arguably the central object within rough path…
Quantum simulation holds the promise of improving the atomic simulations used at EDF to anticipate the ageing of materials of interest. One simulator in particular seems well suited to modeling interacting electrons: the Rydberg atoms…
The recently developed rough Bergomi (rBergomi) model is a rough fractional stochastic volatility (RFSV) model which can generate more realistic term structure of at-the-money volatility skews compared with other RFSV models. However, its…
Quantization techniques have been applied in many challenging finance applications, including pricing claims with path dependence and early exercise features, stochastic optimal control, filtering problems and efficient calibration of large…
We present a quantum-classical hybrid random power method that approximates a ground state of a Hamiltonian. The quantum part of our method computes a fixed number of elements of a Hamiltonian-matrix polynomial via quantum polynomial…
In this paper we introduce the \textit{multivariate} Brownian semistationary (BSS) processes and study the joint asymptotic behaviour of its realised covariation using in-fill asymptotics. First, we present a central limit theorem for…
Conventional methods of quantum simulation involve trade-offs that limit their applicability to specific contexts where their use is optimal. In particular, the interaction picture simulation has been found to provide substantial asymptotic…
We consider the pricing and the sensitivity calculation of continuously monitored barrier options. Standard Monte Carlo algorithms work well for pricing these options. Therefore they do not behave stable with respect to numerical…
The Hybrid Monte Carlo (HMC) algorithm currently is the favorite scheme to simulate quantum chromodynamics including dynamical fermions. In this talk-which is intended for a non-expert audience--I want to bring together methodical and…
We propose a sequential minimal optimization method for quantum-classical hybrid algorithms, which converges faster, is robust against statistical error, and is hyperparameter-free. Specifically, the optimization problem of the…
We present a hybrid method combining a minimizing movement scheme with neural operators for the simulation of phase field-based Willmore flow. The minimizing movement component is based on a standard optimization problem on a regular grid…
In the present paper, we introduce a numerical scheme for the price of a barrier option when the price of the underlying follows a diffusion process. The numerical scheme is based on an extension of a static hedging formula of barrier…
This work proposes four novel hybrid quadrature schemes for the efficient and accurate evaluation of weakly singular boundary integrals (1/r kernel) on arbitrary smooth surfaces. Such integrals appear in boundary element analysis for…
We develop a hybrid oscillator-qubit processor framework for quantum simulation of strongly correlated fermions and bosons that avoids the boson-to-qubit mapping overhead encountered in qubit hardware. This framework gives exact…
Electrical machines commonly consist of moving and stationary parts. The field simulation of such devices can be very demanding if the underlying numerical scheme is solely based on a domain discretization, such as in case of the Finite…