Related papers: Numerical Approximation of Nonlinear Stochastic Vo…
Integral equations are widely used in fields such as applied modeling, medical imaging, and system identification, providing a powerful framework for solving deterministic problems. While parameter identification for differential equations…
We propose a general algorithm for approximating nonstandard Bayesian posterior distributions. The algorithm minimizes the Kullback-Leibler divergence of an approximating distribution to the intractable posterior distribution. Our method…
Stochastic spectral methods have achieved great success in the uncertainty quantification of many engineering problems, including electronic and photonic integrated circuits influenced by fabrication process variations. Existing techniques…
Using lattice approximations of Euclidean space, we develop a way to approximate stable processes that are represented by stochastic integrals over Euclidean space. Via a stable version of the Lindeberg-Feller Theorem we show that the…
We introduce a direct numerical treatment of nonlinear higher-index differential-algebraic equations by means of overdetermined polynomial least-squares collocation. The procedure is not much more computationally expensive than standard…
A stochastic conjugate gradient method for approximation of a function is proposed. The proposed method avoids computing and storing the covariance matrix in the normal equations for the least squares solution. In addition, the method…
The Fokker-Planck equations for stochastic dynamical systems, with non-Gaussian $\alpha-$stable symmetric L\'evy motions, have a nonlocal or fractional Laplacian term. This nonlocality is the manifestation of the effect of non-Gaussian…
A new algorithm for the approximation and simulation of twofold iterated stochastic integrals together with the corresponding L\'{e}vy areas driven by a multidimensional Brownian motion is proposed. The algorithm is based on a truncated…
We describe an algorithm, based on Euler's method, for solving Volterra integro-differential equations. The algorithm approximates the relevant integral by means of the composite Trapezium Rule, using the discrete nodes of the independent…
The existence of continuous not necessarily bounded solutions of nonlinear functional Volterra integral inclusions in infinite dimensional setting is shown with the aid of the measure of nonequicontinuity. New abstract topological fixed…
This manuscript derives locally weighted ensemble Kalman methods from the point of view of ensemble-based function approximation. This is done by using pointwise evaluations to build up a local linear or quadratic approximation of a…
A numerical approach for the approximation of inertial manifolds of stochastic evolutionary equations with multiplicative noise is presented and illustrated. After splitting the stochastic evolutionary equations into a backward and a…
We introduce and analyse a sparse spectral method for the solution of Volterra integral equations using bivariate orthogonal polynomials on a triangle domain. The sparsity of the Volterra operator on a weighted Jacobi basis is used to…
Non-linearity of a Boolean function indicates how far it is from any linear function. Despite there being several strong results about identifying a linear function and distinguishing one from a sufficiently non-linear function, we found a…
This paper aims to compare rational Chebyshev (RC) and Hermite functions (HF) collocation approach to solve the Volterra's model for population growth of a species within a closed system. This model is a nonlinear integro-differential…
In this paper, we study extended backward stochastic Volterra integral equations (EBSVIEs, for short). We establish the well-posedness under weaker assumptions than the literature, and prove a new kind of regularity property for the…
We present a rigorous convergence analysis for cylindrical approximations of nonlinear functionals, functional derivatives, and functional differential equations (FDEs). The purpose of this analysis is twofold: first, we prove that…
Let F be a holomorphic map whose components satisfy some polynomial relations. We present an algorithm for constructing Nash maps locally approximating F, whose components satisfy the same relations.
We consider stochastic volatility dynamics driven by a general H\"older continuous Volterra-type noise and with unbounded drift. For these so-called SVV-models, we consider the explicit computation of quadratic hedging strategies. While the…
We introduce quasi-Monte Carlo rules for the numerical integration of functions $f$ defined on $[0,1]^s$, $s \ge 1$, which satisfy the following properties: the Fourier-, Fourier cosine- or Walsh coefficients of $f$ are absolutely summable…