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In this article we design a novel quasi-regression Monte Carlo algorithm in order to approximate the solution of discrete time backward stochastic differential equations (BSDEs), and we analyze the convergence of the proposed method. The…
In the stochastic gradient descent (SGD) for sequential simulations such as the neural stochastic differential equations, the Multilevel Monte Carlo (MLMC) method is known to offer better theoretical computational complexity compared to the…
The Multilevel Monte Carlo (MLMC) method has proven to be an effective variance-reduction statistical method for Uncertainty Quantification (UQ) in Partial Differential Equation (PDE) models, combining model computations at different levels…
This work deals with the numerical approximation of backward stochastic differential equations (BSDEs). We propose a new algorithm which is based on the regression-later approach and the least squares Monte Carlo method. We give some…
A number of optimal decision problems with uncertainty can be formulated into a stochastic optimal control framework. The Least-Squares Monte Carlo (LSMC) algorithm is a popular numerical method to approach solutions of such stochastic…
We present a high-performance budgeted multi-level Monte Carlo method for estimates on the entire spatial domain of multi-PDE problems with random input data. The method is designed to operate optimally within memory and CPU-time…
The goal of this work is to parallelize the multistep scheme for the numerical approximation of the backward stochastic differential equations (BSDEs) in order to achieve both, a high accuracy and a reduction of the computation time as…
We describe a regression-based method, generally referred to as the Least Squares Monte Carlo (LSMC) method, to speed up exposure calculations of a portfolio. We assume that the portfolio contains several exotic derivatives that are priced…
We present a novel multilevel Monte Carlo approach for estimating quantities of interest for stochastic partial differential equations (SPDEs). Drawing inspiration from [Giles and Szpruch: Antithetic multilevel Monte Carlo estimation for…
Calibrating statistical models using Bayesian inference often requires both accurate and timely estimates of parameters of interest. Particle Markov Chain Monte Carlo (p-MCMC) and Sequential Monte Carlo Squared (SMC$^2$) are two methods…
In this article we consider the approximation of expectations w.r.t. probability distributions associated to the solution of partial differential equations (PDEs); this scenario appears routinely in Bayesian inverse problems. In practice,…
As it has become common to use many computer cores in routine applications, finding good ways to parallelize popular algorithms has become increasingly important. In this paper, we present a parallelization scheme for Markov chain Monte…
We propose an accurate data-driven numerical scheme to solve Stochastic Differential Equations (SDEs), by taking large time steps. The SDE discretization is built up by means of a polynomial chaos expansion method, on the basis of…
In this article we develop a new sequential Monte Carlo (SMC) method for multilevel (ML) Monte Carlo estimation. In particular, the method can be used to estimate expectations with respect to a target probability distribution over an…
We propose a new framework for how to use sequential Monte Carlo (SMC) algorithms for inference in probabilistic graphical models (PGM). Via a sequential decomposition of the PGM we find a sequence of auxiliary distributions defined on a…
In this paper we consider sequential joint state and static parameter estimation given discrete time observations associated to a partially observed stochastic partial differential equation (SPDE). It is assumed that one can only estimate…
By formulating the inverse problem of partial differential equations (PDEs) as a statistical inference problem, the Bayesian approach provides a general framework for quantifying uncertainties. In the inverse problem of PDEs, parameters are…
We design and implement a novel algorithm for computing a multilevel Monte Carlo (MLMC) estimator of the cumulative distribution function of a quantity of interest in problems with random input parameters or initial conditions. Our approach…
The identification of parameters in mathematical models using noisy observations is a common task in uncertainty quantification. We employ the framework of Bayesian inversion: we combine monitoring and observational data with prior…
Stochastic versions of recursive integrated climate-economy assessment models are essential for studying and quantifying policy decisions under uncertainty. However, as the number of state variables and stochastic shocks increases, solving…