Stochastic Numerics Research Group

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Total result(s) found: 8

CB Hammouda, NB Rached, R Tempone. "Importance sampling for a robust and efficient multilevel Monte Carlo estimator for stochastic reaction networks". arXiv preprint arXiv:1911.06286 (2019)

Keywords:

s Multilevel Monte Carlo. Continuous time Markov chains. Stochastic reaction networks. Stochastic biological systems. Importance sampling

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Manuscripts

Bayer, Christian, Juho Häppölä, and Raúl Tempone. "Implied stopping rules for American basket options from Markovian projection." Quantitative Finance, 19(3), 371-390, (2019)

Keywords:

Basket option, Optimal stopping, Black–Scholes, Error bounds, Monte Carlo, Markovian projection, Hamilton–Jabcobi–Bellman

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Refereed Journals

Jasra, Ajay, Seongil Jo, David Nott, Christine Shoemaker, and Raul Tempone. "Multilevel Monte Carlo in approximate Bayesian computation." Stochastic Analysis and Applications(2019): 1-15.

Keywords:

Approximate Bayesian computation, multilevel Monte Carlo, sequential Monte Carlo.

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Refereed Journals

Issaid, Chaouki Ben, Mohamed-Slim Alouini, and Raul Tempone. "Eficient Monte Carlo Simulation of the Left Tail of Positive Gaussian Quadratic Forms." arXiv preprint arXiv:1901.09174 (2019).

Keywords:

Importance sampling, left tail, positive quadratic forms, Gaussian random vectors, bounded relative error.

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Manuscripts

M. Ballesio, J. Beck, A. Pandey, L. Parisi, E. von Schwerin, R. Tempone, Multilevel Monte Carlo Acceleration of Seismic Wave Propagation under Uncertainty, GEM - International Journal on Geomathematics, 12/2019, Volume 10, Issue 1

Keywords:

Multilevel Monte Carlo, Propagation of Uncertainty, Seismic Wave Propagation, Partial Differential Equations with random data

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Refereed Journals

Beck, Joakim, Ben Mansour Dia, Luis FR Espath, and Raul Tempone. "Multilevel Double Loop Monte Carlo and Stochastic Collocation Methods with Importance Sampling for Bayesian Optimal Experimental Design." arXiv preprint arXiv:1811.11469 (2018).

Keywords:

Expected information gain, Laplace approximation, Importance sampling, Composite material, Stochastic collocation, Electrical impedance tomography

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Manuscripts

Clavijo, S. P., A. F. Sarmiento, L. F. R. Espath, Lisandro Dalcin, A. M. A. Cortes, and V. M. Calo. "Reactive n-species Cahn–Hilliard system: A thermodynamically-consistent model for reversible chemical reactions." Journal of Computational and Applied Mathematics 350 (2019): 143-154.

Keywords:

Multicomponent Cahn–Hilliard, Chemical reactions, Isogeometric analysis, Spinodal decomposition

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Refereed Journals

I. Babuska, Z. Sawlan, M. Scavino, B. Szabo, R. Tempone, Spatial Poisson processes for fatigue crack initiation, Computer Methods in Applied Mechanics and Engineering, Volume 345, 1 March 2019, Pages 454-475.

Keywords:

Fatigue crack initiation, Linear elasticity, Notched metallic specimens, Spatial Poisson processes, Fatigue-limit models, Maximum likelihood methods

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Refereed Journals