Håkon Hoel

Previous Members
Postdoctoral Fellow

Research Interests

Håkon Hoel is a postdoctoral researcher in the Stochastic Numerics Group and a member of the Strategic Research Initiative (SRI) Center for Uncertainty Quantification in Computational Science and Engineering. Hoel holds an MSc degree in Computational Science from the University of Oslo (2006) and a PhD in Numerical Analysis from KTH, Royal Institute of Technology (2012). His main research interests are adaptive numerical integration methods for stochastic differential equations, and analysis of and development of algorithms for multilevel Monte Carlo (MLMC) methods. Hoel has worked on different aspects of implementation and error estimation of stochastic models in the following areas:

* Stochastic differential equations; adaptive numerical integration methods for SDE and weak approximation.
* Monte Carlo methods; sequential stopping rules and multilevel Monte Carlo methods for application in weak approximation problems.
* Schrödinger equation; numerical studies of semiclassical physics.
* Wireless channels; stochastic modeling and numerical algorithms for wireless channel modeling.

Selected Publications

  • H. Hoel. A numerical scheme using multi-shockpeakons to compute solutions of the Degasperis--Procesi equation. Electron. J. Diff. Eqns., Vol. 2007, No. 100, pp. 1-22.
  • H. Hoel, E. von Schwerin, A. Szepessy, and R. Tempone. Adaptive Multilevel Monte Carlo Simulation. Numerical Analysis of Multiscale Computations, Proceedings of a Winter Workshop at the Banff International Research Station 2009, Series: Lecture Notes in Computational Science and Engineering, Vol. 82.
  • H. Hoel, E. von Schwerin, A. Szepessy, and R. Tempone. Implementation and Analysis of an Adaptive Multilevel Monte Carlo Algorithm. Monte Carlo Methods Appl. 2014; 20 (1):1-41.
  • C. Bayer, H. Hoel, E. von Schwerin, and R. Tempone. On nonasymptotic optimal stopping criteria in Monte Carlo simulations. SIAM Journal on Scientific Computing 2014, 36:2, A869-885.
  • H. Hoel, and H. Nyberg. An Extension of Clarke's Model with Stochastic Amplitude Flip Processes. (submitted)
  • C. Bayer, H. Hoel, A. Khadir, P. Plechac, M. Sandberg, A. Szepessy, and R. Tempone. How accurate is molecular dynamics?  (arXiv)


  • 2007 – 2012: PhD student in Numerical Analysis at the Royal Institute of Technology, KTH, Stockholm, Sweden.
  • 2006: Master in Computational Science at the University of Oslo, Norway.
  • 2004: Bachelor in Computational Science at the University of Oslo, Norway.

KAUST Affiliations