[PDF] Top 20 Recent developments in spectral stochastic methods for the numerical solution of stochastic partial differential equations
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Recent developments in spectral stochastic methods for the numerical solution of stochastic partial differential equations
... the numerical solution of stochastic partial dierential equations Anthony Nouy Abstract Uncertainty quanti cation appears today as a crucial point in numerous ... Voir le document complet
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A multiscale method with patch for the solution of stochastic partial differential equations with localized uncertainties
... In the present work, we focus on multiscale problems with localized uncer- tainties (in medium property, source terms or ...geometry). In the presence of numerous localized ... Voir le document complet
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A generalized spectral decomposition technique to solve a class of linear stochastic partial differential equations
... method for solving stochastic partial differential equa- tions based on a generalized spectral decomposition ...technique. The decompo- sition is the solution ... Voir le document complet
Development of geostatistical models using Stochastic Partial Differential Equations
... In the last decade a new geostatistical modelling paradigm based on these considerations (either explic- itly or implicitly) has been ...called the SPDE Approach. It has arisen from the needs ... Voir le document complet
315
Development of geostatistical models using stochastic partial differential equations
... In the last decade a new geostatistical modelling paradigm based on these considerations (either explic- itly or implicitly) has been ...called the SPDE Approach. It has arisen from the needs ... Voir le document complet
315
Contribution to the study of efficient iterative methods for the numerical solution of partial differential equations
... element methods are specific finite element methods, where the approximation in each element of maximum diameter h is a polynomial of degree k (see, ...accuracy of ... Voir le document complet
319
Numerical methods for the 2nd moment of stochastic ODEs
... and partial differential equations are pervasive in financial, biological, engineering and social sciences, to name a ...uncertainties in the coefficients, in the ... Voir le document complet
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An efficient spectral method for the numerical solution to stochastic differential equations
... choice of collocation point seems the most natural one, nu- merical results for the resolution of SDE using such representation were disap- pointing in terms of ... Voir le document complet
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Numerical Methods and Deep Learning for Stochastic Control Problems and Partial Differential Equations
... 3.4.4 Numerical results In this section, we propose several settings to test the efficiency of Qknn on simulated order ...take the wealth of the market maker as terminal ... Voir le document complet
271
Isogeometric methods for hyperbolic partial differential equations
... emerged, the discontinuous Galerkin method (DGM), which shares some features with both the FVM and the ...a numerical flux is defined at the interface between cells to reconstruct ... Voir le document complet
236
Switching Game of Backward Stochastic Differential Equations and Associated System of Obliquely Reflected Backward Stochastic Differential Equations
... values in ¯ Q . Then RBSDE (1.5) has an adapted solution (Y, Z, K, L) in S 2 × M 2 × (N 2 ) 2 ...sketch the proof. Sketch of the Proof: The proof is divided into five ... Voir le document complet
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Image Denoising using Stochastic Differential Equations
... Unité de recherche INRIA Sophia Antipolis 2004, route des Lucioles - BP 93 - 06902 Sophia Antipolis Cedex France Unité de recherche INRIA Futurs : Parc Club Orsay Université - ZAC des Vi[r] ... Voir le document complet
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Obliquely Reflected Backward Stochastic Differential Equations
... convergence of the sequence pY n q is to show classically that it is a Cauchy ...used in the case of muldimensional RBSDE when there is no perturbation H of the direction ... Voir le document complet
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Some contributions to stochastic control and backward stochastic differential equations in finance.
... Faisons maintenant une revue rapide des mod`eles principaux de taux. Certains mod`eles pr´ef`erent mod´eliser directement le taux court. C’est la cas entre autres du mod`ele de Vasicek ou de Ho et Lee parmi les plus c´e- ... Voir le document complet
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Numerical methods for the 2nd moment of stochastic ODEs
... summary, in Section 3.2 we will discuss two conforming discretizations for the deterministic first moment equation (16): CN ? which is only conditionally stable (depending on the ... Voir le document complet
27
Backward Stochastic Differential Equations with no driving martingale, Markov processes and associated Pseudo Partial Differential Equations
... solutions. The main contributions of the paper are essentially the ...following. In Section 3 we introduce the notion of BSDE with no driving martingale ...uniqueness ... Voir le document complet
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The Euler Scheme for Lévy driven Stochastic Differential Equations
... Unite´ de recherche INRIA Lorraine, Technopoˆle de Nancy-Brabois, Campus scientifique, 615 rue du Jardin Botanique, BP 101, 54600 VILLERS LE` S NANCY Unite´ de recherche INRIA Rennes, Ir[r] ... Voir le document complet
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Validating Stochastic Models: Invariance Criteria for Systems of Stochastic Differential Equations and the Selection of a Stochastic Hodgkin-Huxley Type Model
... Abstract. In recent years, many difficulties appeared when taking into account the inherent stochastic behavior of neurons and voltage-dependent ion channels in Hodgking-Huxley ... Voir le document complet
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On the discretization of backward doubly stochastic differential equations
... E., Numerical solution of stochastic differential equations Springer (1999) [MY99] Ma ...Forward-Backward Stochastic Differential Equations and their ... Voir le document complet
12
Certified Reduced Basis Methods for Parametrized Partial Differential Equations
... thank the co-author of this handbook, our colleague, Anthony ...(MIT) for his encouragement, support and advise in writing this ...all the colleagues who contributed at several levels ... Voir le document complet
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