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A numerical analysis for the fully discrete approximation of an operator Lyapunov equation related to linear SPDEs (stochastic partial differential equations) driven by multiplicative noise is considered. The discretization of the Lyapunov…

Model order reduction (MOR) techniques are often used to reduce the order of spatially-discretized (stochastic) partial differential equations and hence reduce computational complexity. A particular class of MOR techniques is balancing…

This paper deals with the numerical approximation of semilinear parabolic stochastic partial differential equation (SPDE) driven simultaneously by Gaussian noise and Poisson random measure, more realistic in modeling real world phenomena.…

Stochastic differential equations (SDEs) are a fundamental tool for modelling dynamic processes, including gene regulatory networks (GRNs), contaminant transport, financial markets, and image generation. However, learning the underlying SDE…

Moment estimation for stochastic differential equations (SDEs) is fundamental to the formal reasoning and verification of stochastic dynamical systems, yet remains challenging and is rarely available in closed form. In this paper, we study…

We address the weak numerical solution of stochastic differential equations driven by independent Brownian motions (SDEs for short). This paper develops a new methodology to design adaptive strategies for determining automatically the…

Second Moment Methods (SMMs) are developed that are consistent with the Discontinuous Galerkin (DG) spatial discretization of the discrete ordinates (or \Sn) transport equations. The low-order (LO) diffusion system of equations is…

Solving high-dimensional parabolic partial differential equations (PDEs) with deep learning methods is often computationally and memory intensive, primarily due to the need for automatic differentiation (AD) to compute large Hessian…

Estimating the 3DoF rotation from a single RGB image is an important yet challenging problem. As a popular approach, probabilistic rotation modeling additionally carries prediction uncertainty information, compared to single-prediction…

Many stochastic differential equations (SDEs) in the literature have a superlinearly growing nonlinearity in their drift or diffusion coefficient. Unfortunately, moments of the computationally efficient Euler-Maruyama approximation method…

In this article we develop a method for the strong approximation of stochastic differential equations (SDEs) driven by L\'evy processes or general semimartingales. The main ingredients of our method is the perturbation of the SDE and the…

We formulate pure characteristics demand models under uncertainties of probability distributions as distributionally robust mathematical programs with stochastic complementarity constraints (DRMP-SCC). For any fixed first-stage variable and…

This study concerns with singularly perturbed systems of second-order reaction-diffusion equations in ODE's. To handle this type of problems, a numerical-asymptotic hybrid method is employed. In this hybrid method, an efficient asymptotic…

For uncertainty propagation of highly complex and/or nonlinear problems, one must resort to sample-based non-intrusive approaches [1]. In such cases, minimizing the number of function evaluations required to evaluate the response surface is…

We consider systems of stochastic differential equations with multiple scales and small noise and assume that the coefficients of the equations are ergodic and stationary random fields. Our goal is to construct provably-efficient importance…

Highly accurate simulations of problems including second derivatives on complex geometries are of primary interest in academia and industry. Consider for example the Navier-Stokes equations or wave propagation problems of acoustic or…

We discrete the ergodic semilinear stochastic partial differential equations in space dimension $d \leq 3$ with additive noise, spatially by a spectral Galerkin method and temporally by an exponential Euler scheme. It is shown that both the…

We derive an optimal shrinkage sample covariance matrix (SCM) estimator which is suitable for high dimensional problems and when sampling from an unspecified elliptically symmetric distribution. Specifically, we derive the optimal (oracle)…

Stochastic approximation (SA) algorithms have been widely applied in minimization problems when the loss functions and/or the gradient information are only accessible through noisy evaluations. Stochastic gradient (SG) descent---a…

Remote sensing image super-resolution (SR) is a crucial task to restore high-resolution (HR) images from low-resolution (LR) observations. Recently, the Denoising Diffusion Probabilistic Model (DDPM) has shown promising performance in image…