Related papers: A Coupling for Triple Stochastic Integrals
The goal of this paper is to create a fruitful bridge between the numerical methods for approximating partial differential equations (PDEs) in fluid dynamics and the (iterative) numerical methods for dealing with the resulting large linear…
This work considers the problem of numerically approximating statistical moments of a Quantity of Interest (QoI) that depends on the solution of a linear parabolic partial differential equation. The geometry is assumed to be random and is…
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…
A one-dimensional stochastic wave equation driven by a general stochastic measure is studied in this paper. The Fourier series expansion of stochastic measures is considered. It is proved that changing the integrator by the corresponding…
Elliptic stochastic differential equations (SDE) make sense when the coefficients are only continuous. We study the corresponding linearized SDE whose coefficients are not assumed to be locally bounded. This leads to existence of…
Representation of the elastic scattering amplitude in the form of the path integral is obtained using the stationary Schroedinger equation. A few methods of evaluation of path integrals for large coupling constants are formulated. The…
Given strong uniqueness for an It\^o's stochastic equation, we prove that its solution can beconstructed on "any" probability space by using, for example, Euler's polygonal approximations. Stochastic equations in $\mathbb{R}^{d}$ and in…
We investigate existence, uniqueness and approximation of solutions to stochastic delay differential equations (SDDEs) under Carath\'eodory-type drift coefficients. Moreover, we also assume that both drift $f=f(t,x,z)$ and diffusion…
Many high dimensional integrals can be reduced to the problem of finding the relative measures of two sets. Often one set will be exponentially larger than the other, making it difficult to compare the sizes. A standard method of dealing…
This paper investigates a numerical probabilistic method for the solution of some semilinear stochastic partial differential equations (SPDEs in short). The numerical scheme is based on discrete time approximation for solutions of systems…
The Laplace approximation is an old, but frequently used method to approximate integrals for Bayesian calculations. In this paper we develop an extension of the Laplace approximation, by applying it iteratively to the residual, i.e., 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…
Sticky diffusion models a Markovian particle experiencing reflection and temporary adhesion phenomena at the boundary. Numerous numerical schemes exist for approximating stopped or reflected stochastic differential equations (SDEs), but…
Stochastic versions of proximal methods have gained much attention in statistics and machine learning. These algorithms tend to admit simple, scalable forms, and enjoy numerical stability via implicit updates. In this work, we propose and…
Stochastic inference on Lie groups plays a key role in state estimation problems such as; inertial navigation, visual inertial odometry, pose estimation in virtual reality, etc. A key problem is fusing independent concentrated Gaussian…
The approximation of invariant measures for nonlinear ergodic stochastic differential equations (SDEs) is a central problem in scientific computing, with important applications in stochastic sampling, physics, and ecology. We first propose…
Many physical problems involving heterogeneous spatial scales, such as the flow through fractured porous media, the study of fiber-reinforced materials, or the modeling of the small circulation in living tissues -- just to mention a few…
This paper provides a numerical approach for solving the linear stochastic Volterra integral equation using Walsh function approximation and the corresponding operational matrix of integration. A convergence analysis and error analysis of…
This review provides a pedagogic and self-contained introduction to master equations and to their representation by path integrals. We discuss analytical and numerical methods for the solution of master equations, keeping our focus on…
Three-centre nuclear attraction integrals, which arise in density functional and \textit{ab initio} calculations, are one of the most time-consuming computations involved in molecular electronic structure calculations. Even for relatively…