相关论文: Error estimates for the robust $\alpha$-stable cen…
The sample average approximation (SAA) approach is applied to risk-neutral optimization problems governed by semilinear elliptic partial differential equations with random inputs. After constructing a compact set that contains the SAA…
The estimation of the probability of rare events is an important task in reliability and risk assessment. We consider failure events that are expressed in terms of a limit-state function, which depends on the solution of a partial…
We consider parameter estimation of ordinary differential equation (ODE) models from noisy observations. For this problem, one conventional approach is to fit numerical solutions (e.g., Euler, Runge--Kutta) of ODEs to data. However, such a…
We consider second-order PDE problems set in unbounded domains and discretized by Lagrange finite elements on a finite mesh, thus introducing an artificial boundary in the discretization. Specifically, we consider the reaction diffusion…
This paper aims to investigate the numerical approximation of semilinear non-autonomous stochastic partial differential equations (SPDEs) driven by multiplicative or additive noise. Such equations are more realistic than autonomous SPDEs…
We consider statistics for stochastic evolution equations in Hilbert space with emphasis on stochastic partial differential equations (SPDEs). We observe a solution process under additional measurement errors and want to estimate a real or…
A proof of optimal-order error estimates is given for the full discretization of the bulk--surface Cahn--Hilliard system with dynamic boundary conditions in a smooth domain. The numerical method combines a linear bulk--surface finite…
In this study, we present a novel stabilized finite element analysis for transient Stokes model. The algebraic subgrid multiscale approach has been employed to arrive at the stabilized coupled variational formulation. Derivation of the…
Discrete empirical interpolation method (DEIM) is a popular technique for nonlinear model reduction and it has two main ingredients: an interpolating basis that is computed from a collection of snapshots of the solution and a set of indices…
We present convergence results in expectation for stochastic subspace correction schemes and their accelerated versions to solve symmetric positive-definite variational problems, and discuss their potential for achieving fault tolerance in…
The numerical solution of differential equations can be formulated as an inference problem to which formal statistical approaches can be applied. However, nonlinear partial differential equations (PDEs) pose substantial challenges from an…
In this paper, we present a randomized extension of the deep splitting algorithm introduced in [Beck, Becker, Cheridito, Jentzen, and Neufeld (2021)] using random neural networks suitable to approximately solve both high-dimensional…
In this paper we study the stability of explicit finite difference discretizations of linear advection-diffusion equations (ADE) with arbitrary order of accuracy in the context of method of lines. The analysis first focuses on the stability…
We revisit the classical model of Tsitsiklis, Bertsekas and Athans for distributed stochastic approximation with consensus. The main result is an analysis of this scheme using the ODE approach to stochastic approximation, leading to a high…
Strong approximation errors of both finite element semi-discretization and spatio-temporal full discretization are analyzed for the stochastic Allen-Cahn equation driven by additive noise in space dimension $d \leq 3$. The full…
Approximations of the Dirac delta distribution are commonly used to create sequences of smooth functions approximating nonsmooth (generalized) functions, via convolution. In this work, we show a priori rates of convergence of this…
The issue of single-grid discretization error estimator, operating in the postprocessor mode, is addressed in the paper. An ensemble of numerical solutions, obtained using solvers of different accuracy, is shown to provide an upper estimate…
In this work, we study the numerical approximation of a class of singular fully coupled forward backward stochastic differential equations. These equations have a degenerate forward component and non-smooth terminal condition. They are…
In this work, we have presented a simple analytical approximation scheme for generic non-linear FBSDEs. By treating the interested system as the linear decoupled FBSDE perturbed with non-linear generator and feedback terms, we have shown…
This paper considers the H\infty-optimal estimation problem for linear systems with multiple delays in states, output, and disturbances. First, we formulate the H\infty-optimal estimation problem in the Delay-Differential Equation (DDE)…