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This paper explores a fully discrete approximation for a nonlinear hyperbolic PDE-constrained optimization problem (P) with applications in acoustic full waveform inversion. The optimization problem is primarily complicated by the…
This paper presents a numerical method for variable coefficient elliptic PDEs with mostly smooth solutions on two dimensional domains. The PDE is discretized via a multi-domain spectral collocation method of high local order (order 30 and…
We analyze a system of nonlinear stochastic partial differential equations (SPDEs) of mixed elliptic-parabolic type that models the propagation of electric signals and their effect on the deformation of cardiac tissue. The system governs…
Probabilistic ordinary differential equation (ODE) solvers have been introduced over the past decade as uncertainty-aware numerical integrators. They typically proceed by assuming a functional prior to the ODE solution, which is then…
The numerical solution of partial differential equations (PDEs) is challenging because of the need to resolve spatiotemporal features over wide length and timescales. Often, it is computationally intractable to resolve the finest features…
We study linear backward stochastic partial differential equations of parabolic type with special boundary conditions in time. The standard Cauchy condition at the terminal time is replaced by a condition that holds almost surely and mixes…
It has recently been demonstrated that locality of spatial supports in the parametrization of coefficients in elliptic PDEs can lead to improved convergence rates of sparse polynomial expansions of the corresponding parameter-dependent…
A numerical method is proposed for a class of stochastic control problems including singular behavior. This method solves an infinite-dimensional linear program equivalent to the stochastic control problem using a finite element type…
We propose a new numerical method for one dimensional stochastic differential equations (SDEs). The main idea of this method is based on a representation of a weak solution of a SDE with a time changed Brownian motion, dated back to Doeblin…
Stochastic partial differential equations (SPDEs) are the mathematical tool of choice for modelling spatiotemporal PDE-dynamics under the influence of randomness. Based on the notion of mild solution of an SPDE, we introduce a novel neural…
In this paper we construct the stationary weak solutions of parabolic SPDEs by a general infinite horizon backward doubly stochastic differential equations (BDSDEs for short) with non-degenerate terminal functions. For this, we first study…
This work proposes stochastic partial differential equations (SPDEs) as a practical tool to replicate clustering effects of more detailed particle-based dynamics. Inspired by membrane-mediated receptor dynamics on cell surfaces, we…
Consider the approximation of stochastic Allen-Cahn-type equations (i.e. $1+1$-dimensional space-time white noise-driven stochastic PDEs with polynomial nonlinearities $F$ such that $F(\pm \infty)=\mp \infty$) by a fully discrete space-time…
We deal with parametric estimation for a parabolic linear second order stochastic partial differential equation (SPDE) with a small dispersion parameter based on high frequency data which are observed in time and space. By using the thinned…
We develope a perturbation theory for stochastic differential equations (SDEs) by which we mean both stochastic ordinary differential equations (SODEs) and stochastic partial differential equations (SPDEs). In particular, we estimate the $…
In this work, we investigate the numerical approximation of the second order non-autonomous semilnear parabolic partial differential equation (PDE) using the finite element method. To the best of our knowledge, only the linear case is…
Developing efficient numerical algorithms for the solution of high dimensional random Partial Differential Equations (PDEs) has been a challenging task due to the well-known curse of dimensionality. We present a new solution framework for…
We present a model and variance reduction method for the fast and reliable computation of statistical outputs of stochastic elliptic partial differential equations. Our method consists of three main ingredients: (1) the hybridizable…
Models incorporating uncertain inputs, such as random forces or material parameters, have been of increasing interest in PDE-constrained optimization. In this paper, we focus on the efficient numerical minimization of a convex and smooth…
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…