Publications

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Total result(s) found: 6
  • 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
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.
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.
  • 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
  • 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
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
Refereed Journals