Related papers: The optimal multilevel Monte-Carlo approximation o…
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…
We develop new multilevel Monte Carlo (MLMC) methods to estimate the expectation of the smallest eigenvalue of a stochastic convection-diffusion operator with random coefficients. The MLMC method is based on a sequence of finite element…
We present an adaptive multilevel Monte Carlo algorithm for solving the stochastic drift-diffusion-Poisson system with non-zero recombination rate. The a-posteriori error is estimated to enable goal-oriented adaptive mesh refinement for the…
This paper develops a new 2D/3D stochastic closed-loop geothermal system with a random hydraulic conductivity tensor. We use the finite element method (FEM) and the Monte Carlo method (MCM) to discrete physical and probability spaces,…
Reflected diffusions in polyhedral domains are commonly used as approximate models for stochastic processing networks in heavy traffic. Stationary distributions of such models give useful information on the steady state performance of the…
While multilevel Monte Carlo (MLMC) methods for the numerical approximation of partial differential equations with random coefficients enjoy great popularity, combinations with spatial adaptivity seem to be rare. We present an adaptive MLMC…
We establish a notion of random entropy solution for degenerate fractional conservation laws incorporating randomness in the initial data, convective flux and diffusive flux. In order to quantify the solution uncertainty, we design a…
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…
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…
We consider the numerical solution of scalar, nonlinear degenerate convection-diffusion problems with random diffusion coefficient and with random flux functions. Building on recent results on the existence, uniqueness and continuous…
We show that Lasso and Bayesian Lasso are very close when the sparsity is large and the noise is small. Then we propose to solve Bayesian Lasso using multivalued stochastic differential equation. We obtain three discretizations algorithms,…
We propose a multi-index algorithm for the Monte Carlo (MC) discretization of a linear, elliptic PDE with affine-parametric input. We prove an error vs. work analysis which allows a multi-level finite-element approximation in the physical…
In this paper, we aim to study the diffusion approximation for multi-scale McKean-Vlasov stochastic differential equations. More precisely, we prove the weak convergence of slow process $X^\varepsilon$ in $C([0,T];\mathbb{R}^n)$ towards the…
In the present paper we consider the initial data, external force, viscosity coefficients, and heat conductivity coefficient as random data for the compressible Navier--Stokes--Fourier system. The Monte Carlo method, which is frequently…
Fixed-node diffusion Monte Carlo (DMC) is a stochastic algorithm for finding the lowest energy many-fermion wave function with the same nodal surface as a chosen trial function. It has proved itself among the most accurate methods available…
Quasi-Monte Carlo (QMC) methods are applied to multi-level Finite Element (FE) discretizations of elliptic partial differential equations (PDEs) with a random coefficient, to estimate expected values of linear functionals of the solution.…
We study lithium systems over a range of number of atoms, e.g., atomic anion, dimer, metallic cluster, and body-centered cubic crystal by the diffusion Monte Carlo method. The calculations include both core and valence electrons in order to…
We introduce a Monte Carlo Virtual Element estimator based on Virtual Element discretizations for stochastic elliptic partial differential equations with random diffusion coefficients. We prove estimates for the statistical approximation…
Variational time discretization schemes are getting of increasing importance for the accurate numerical approximation of transient phenomena. The applicability and value of mixed finite element methods (MFEM) in space for simulating…
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…