Related papers: The optimal multilevel Monte-Carlo approximation o…
Wave propagation problems have many applications in physics and engineering, and the stochastic effects are important in accurately modeling them due to the uncertainty of the media. This paper considers and analyzes a fully discrete finite…
We consider the computational efficiency of Monte Carlo (MC) and Multilevel Monte Carlo (MLMC) methods applied to partial differential equations with random coefficients. These arise, for example, in groundwater flow modelling, where a…
In this article we consider recursive approximations of the smoothing distribution associated to partially observed stochastic differential equations (SDEs), which are observed discretely in time. Such models appear in a wide variety of…
We develop a formalism and present an algorithm for optimization of the trial wave-function used in fixed-node diffusion quantum Monte Carlo (DMC) methods. We take advantage of a basic property of the walker configuration distribution…
We design a finite element method (FEM) for a membrane model of liquid crystal polymer networks (LCNs). This model consists of a minimization problem of a non-convex stretching energy. We discuss properties of this energy functional such as…
In this article we study adaptive finite element methods (AFEM) with inexact solvers for a class of semilinear elliptic interface problems. We are particularly interested in nonlinear problems with discontinuous diffusion coefficients, such…
The present work provides a critical assessment of numerical solutions of the space-fractional diffusion-advection equation, which is of high significance for applications in various natural sciences. In view of the fact that, in contrast…
We consider the application of multilevel Monte Carlo methods to steady state Darcy flow in a random porous medium, described mathematically by elliptic partial differential equations with random coefficients. The levels in the multilevel…
We study statistical model checking of continuous-time stochastic hybrid systems. The challenge in applying statistical model checking to these systems is that one cannot simulate such systems exactly. We employ the multilevel Monte Carlo…
We present diffusion Monte Carlo (DMC) and path-integral Monte Carlo (PIMC) calculations of a one-dimensional Bose system with realistic interparticle interactions in a periodic external potential. Our main aim is to test the predictions of…
In this paper, we introduce the $\sigma$-antithetic multilevel Monte Carlo (MLMC) estimator for a multi-dimensional diffusion which is an extended version of the original antithetic MLMC one introduced by Giles and Szpruch \cite{a}. Our aim…
Multilevel sampling methods, such as multilevel and multifidelity Monte Carlo, multilevel stochastic collocation, or delayed acceptance Markov chain Monte Carlo, have become standard uncertainty quantification (UQ) tools for a wide class of…
In this paper, we first establish well-posedness results for one-dimensional McKean-Vlasov stochastic differential equations (SDEs) and related particle systems with a measure-dependent drift coefficient that is discontinuous in the spatial…
We introduce the Multilevel Euler-Maruyama (ML-EM) method compute solutions of SDEs and ODEs using a range of approximators $f^1,\dots,f^k$ to the drift $f$ with increasing accuracy and computational cost, only requiring a few evaluations…
In this work we propose a hierarchy of Monte Carlo methods for sampling equilibrium properties of stochastic lattice systems with competing short and long range interactions. Each Monte Carlo step is composed by two or more sub - steps…
Recently, a class of efficient spectral Monte-Carlo methods was developed in \cite{Feng2025ExponentiallyAS} for solving fractional Poisson equations. These methods fully consider the low regularity of the solution near boundaries and…
This paper presents a new numerical method for the compressible Navier-Stokes equations governing the flow of an ideal isentropic gas. To approximate the continuity equation, the method utilizes a discontinuous Galerkin discretization on…
The existence of global weak solutions to a partial-differential-algebraic system is proved. The system consists of the drift-diffusion equations for the electron, hole, and oxide vacancy densities in a memristor device, the Poisson…
In nuclear fusion and fission, fluctuation and dissipation arise due to the coupling of collective degrees of freedom with internal excitations. Close to the barrier, both quantum, statistical and non-Markovian effects are expected to be…
Different techniques of event biasing have been implemented in the particle-based Monte Carlo simulations of a 15nm n-channel MOSFET. The primary goal is to achieve enhancement in the channel statistics and faster convergence in the…