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In this work, we concern with the high order numerical methods for coupled forward-backward stochastic differential equations (FBSDEs). Based on the FBSDEs theory, we derive two reference ordinary differential equations (ODEs) from the…
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…
We present Neural Spectral Methods, a technique to solve parametric Partial Differential Equations (PDEs), grounded in classical spectral methods. Our method uses orthogonal bases to learn PDE solutions as mappings between spectral…
In this paper, we define new unfitted finite element methods for numerically approximating the solution of surface partial differential equations using bulk finite elements. The key idea is that the $n$-dimensional hypersurface, $\Gamma…
The numerical solution of high dimensional partial differential equations (PDEs) is severely constrained by the curse of dimensionality (CoD), rendering classical grid--based methods impractical beyond a few dimensions. In recent years,…
Stochastic Differential Equations (SDEs) serve as a powerful modeling tool in various scientific domains, including systems science, engineering, and ecological science. While the specific form of SDEs is typically known for a given…
Estimating the probability of rare failure events is an essential step in the reliability assessment of engineering systems. Computing this failure probability for complex non-linear systems is challenging, and has recently spurred the…
In recent years, SPDEs have become a well-studied field in mathematics. With their increase in popularity, it becomes important to efficiently approximate their solutions. Thus, our goal is a contribution towards the development of…
Applications in quantitative finance such as optimal trade execution, risk management of options, and optimal asset allocation involve the solution of high dimensional and nonlinear Partial Differential Equations (PDEs). The connection…
The numerical solution of stochastic partial differential equations (SPDE) presents challenges not encountered in the simulation of PDEs or SDEs. Indeed, the roughness of the noise in conjunction with nonlinearities in the drift typically…
Neural Stochastic Differential Equations (Neural SDEs) have emerged as powerful mesh-free generative models for continuous stochastic processes, with critical applications in fields such as finance, physics, and biology. Previous…
Increasingly larger data sets of processes in space and time ask for statistical models and methods that can cope with such data. We show that the solution of a stochastic advection-diffusion partial differential equation provides a…
The extended finite element method (XFEM) was introduced in 1999 to treat problems involving discontinuities with no or minimal remeshing through appropriate enrichment functions. This enables elements to be split by a discontinuity, strong…
Partial Differential Equations (PDE) are fundamental to model different phenomena in science and engineering mathematically. Solving them is a crucial step towards a precise knowledge of the behaviour of natural and engineered systems. In…
We propose and study a scheme combining the finite element method and machine learning techniques for the numerical approximations of coupled nonlinear forward-backward stochastic partial differential equations (FBSPDEs) with homogeneous…
In this paper we consider an ESFEM method for the advection and diffusion of a scalar quantity on a moving closed curve. The diffusion process is controlled by a forcing term that may include a rough term (specifically a stochastic noise)…
For Kolmogorov equations associated to finite dimensional stochastic differential equations (SDEs) in high dimension, a numerical method alternative to Monte Carlo simulations is proposed. The structure of the SDE is inspired by stochastic…
We propose a predictor-corrector adaptive method for the simulation of hyperbolic partial differential equations (PDEs) on networks under general uncertainty in parameters, initial conditions, or boundary conditions. The approach is based…
To obtain strong convergence rates of numerical schemes, an overwhelming majority of existing works impose a global monotonicity condition on coefficients of SDEs. Nevertheless, there are still many SDEs from applications that do not have…
We study a numerical method to compute probability density functions of solutions of stochastic differential equations. The method is sometimes called the numerical path integration method and has been shown to be fast and accurate in…