| Publication | Date of Publication | Type |
|---|
| Approximating Hessian matrices using Bayesian inference: a new approach for quasi-Newton methods in stochastic optimization | 2025-01-10 | Paper |
| Multilevel importance sampling for rare events associated with the McKean-Vlasov equation | 2025-01-07 | Paper |
| Double-loop importance sampling for McKean-Vlasov stochastic differential equation | 2024-11-26 | Paper |
| Lagrangian relaxation for continuous-time optimal control of coupled hydrothermal power systems including storage capacity and a cascade of hydropower systems with time delays | 2024-11-01 | Paper |
| Automated importance sampling via optimal control for stochastic reaction networks: a Markovian projection-based approach | 2024-07-04 | Paper |
| Optimal Bayesian experimental design for priors of compact support with application to shock-tube experiments for combustion kinetics | 2024-06-23 | Paper |
| Multilevel double loop Monte Carlo and stochastic collocation methods with importance sampling for Bayesian optimal experimental design | 2024-06-11 | Paper |
| Multilevel Monte Carlo with numerical smoothing for robust and efficient computation of probabilities and densities | 2024-05-07 | Paper |
| Machine learning-based conditional mean filter: a generalization of the ensemble Kalman filter for nonlinear data assimilation | 2024-02-14 | Paper |
| Smaller generalization error derived for a deep residual neural network compared with shallow networks | 2024-02-06 | Paper |
| Nonasymptotic Convergence Rate of Quasi-Monte Carlo: Applications to Linear Elliptic PDEs with Lognormal Coefficients and Importance Samplings | 2023-10-22 | Paper |
| A Wasserstein coupled particle filter for multilevel estimation | 2023-10-17 | Paper |
| Laplace-based strategies for Bayesian optimal experimental design with nuisance uncertainty | 2023-10-16 | Paper |
| Corrigendum to: ``Small-noise approximation for Bayesian optimal experimental design with nuisance uncertainty | 2023-09-14 | Paper |
| Learning-based importance sampling via stochastic optimal control for stochastic reaction networks | 2023-07-20 | Paper |
| State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables | 2023-07-18 | Paper |
| Multi-index Importance Sampling for McKean-Vlasov Stochastic Differential Equation | 2023-07-11 | Paper |
| Analysis of a Class of Multilevel Markov Chain Monte Carlo Algorithms Based on Independent Metropolis–Hastings | 2023-06-30 | Paper |
| Scalable method for Bayesian experimental design without integrating over posterior distribution | 2023-06-30 | Paper |
| Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing | 2023-06-20 | Paper |
| WEAK ERROR RATES FOR OPTION PRICING UNDER LINEAR ROUGH VOLATILITY | 2023-02-22 | Paper |
| Uncertainty quantification in coastal aquifers using the multilevel Monte Carlo method | 2023-02-12 | Paper |
| Goal-oriented adaptive finite element multilevel Monte Carlo with convergence rates | 2023-01-19 | Paper |
| Propagation of uncertainties in density-driven flow | 2022-11-01 | Paper |
| Deep nurbs -- admissible neural networks | 2022-10-25 | Paper |
| Multi-index ensemble Kalman filtering | 2022-10-11 | Paper |
| Small-noise approximation for Bayesian optimal experimental design with nuisance uncertainty | 2022-09-22 | Paper |
| Double-Loop Importance Sampling for McKean--Vlasov Stochastic Differential Equation | 2022-07-14 | Paper |
| Goal-Oriented Adaptive Finite Element Multilevel Monte Carlo with Convergence Rates | 2022-06-21 | Paper |
| Small-noise approximation for Bayesian optimal experimental design with nuisance uncertainty | 2021-12-13 | Paper |
| Efficient importance sampling for large sums of independent and identically distributed random variables | 2021-12-10 | Paper |
| Quantifying uncertainty with a derivative tracking SDE model and application to wind power forecast data | 2021-12-10 | Paper |
| Generalized parallel tempering on Bayesian inverse problems | 2021-12-10 | Paper |
| A note on tools for prediction under uncertainty and identifiability of SIR-like dynamical systems for epidemiology | 2021-11-08 | Paper |
| Pricing American options by exercise rate optimization | 2021-09-03 | Paper |
| A hybrid collocation-perturbation approach for PDEs with random domains | 2021-08-04 | Paper |
| Multi-index ensemble Kalman filtering | 2021-04-15 | Paper |
| Multilevel ensemble Kalman filtering for spatio-temporal processes | 2021-03-03 | Paper |
| Wind Field Reconstruction with Adaptive Random Fourier Features | 2021-02-03 | Paper |
| A simple approach to proving the existence, uniqueness, and strong and weak convergence rates for a broad class of McKean--Vlasov equations | 2021-01-04 | Paper |
| Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model | 2020-12-07 | Paper |
| Importance sampling for a robust and efficient multilevel Monte Carlo estimator for stochastic reaction networks | 2020-11-04 | Paper |
| Multi-Iteration Stochastic Optimizers | 2020-11-03 | Paper |
| Analytic regularity and collocation approximation for elliptic PDEs with random domain deformations | 2020-10-11 | Paper |
| Analysis and computation of the elastic wave equation with random coefficients | 2020-10-11 | Paper |
| Weak error rates for option pricing under linear rough volatility | 2020-09-02 | Paper |
| Multilevel weighted least squares polynomial approximation | 2020-05-18 | Paper |
| Solution of the 3D density-driven groundwater flow problem with uncertain porosity and permeability | 2020-05-04 | Paper |
| IGA-based multi-index stochastic collocation for random PDEs on arbitrary domains | 2020-04-17 | Paper |
| Spatial Poisson processes for fatigue crack initiation | 2020-04-09 | Paper |
| Fast Bayesian experimental design: Laplace-based importance sampling for the expected information gain | 2020-04-07 | Paper |
| Nesterov-aided stochastic gradient methods using Laplace approximation for Bayesian design optimization | 2020-03-31 | Paper |
| Multi-index stochastic collocation for random PDEs | 2020-03-30 | Paper |
| Multilevel Monte Carlo acceleration of seismic wave propagation under uncertainty | 2020-02-27 | Paper |
| Multilevel Ensemble Kalman Filtering based on a sample average of independent EnKF estimators | 2020-02-02 | Paper |
| Implied stopping rules for American basket options from Markovian projection | 2019-09-26 | Paper |
| Bayesian inference and model comparison for metallic fatigue data | 2019-06-12 | Paper |
| Multilevel Monte Carlo in approximate Bayesian computation | 2019-05-28 | Paper |
| Fast Bayesian optimal experimental design for seismic source inversion | 2019-03-27 | Paper |
| Smolyak's algorithm: a powerful black box for the acceleration of scientific computations | 2019-01-29 | Paper |
| Multilevel Double Loop Monte Carlo and Stochastic Collocation Methods with Importance Sampling for Bayesian Optimal Experimental Design | 2018-11-28 | Paper |
| Smoothing the payoff for efficient computation of Basket option prices | 2018-11-14 | Paper |
| A Laplace method for under-determined Bayesian optimal experimental designs | 2018-10-23 | Paper |
| A stochastic multiscale method for the elastodynamic wave equation arising from fiber composites | 2018-08-28 | Paper |
| On the efficient simulation of the left-tail of the sum of correlated log-normal variates | 2018-06-08 | Paper |
| Sparse approximation of multilinear problems with applications to kernel-based methods in UQ | 2018-05-16 | Paper |
| Multilevel and multi-index Monte Carlo methods for the McKean-Vlasov equation | 2018-03-08 | Paper |
| On the generalization of the hazard rate twisting-based simulation approach | 2018-02-28 | Paper |
| A hierarchical Bayesian setting for an inverse problem in linear parabolic PDEs with noisy boundary conditions | 2018-02-23 | Paper |
| Multilevel sequential Monte Carlo samplers | 2017-05-18 | Paper |
| A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control | 2017-05-16 | Paper |
| Smolyak's algorithm: A powerful black box for the acceleration of scientific computations | 2017-03-26 | Paper |
| Multilevel hybrid split-step implicit tau-leap | 2017-02-17 | Paper |
| Optimization of mesh hierarchies in multilevel Monte Carlo samplers | 2017-02-03 | Paper |
| Multi-index stochastic collocation convergence rates for random PDEs with parametric regularity | 2017-02-01 | Paper |
| Construction of a Mean Square Error Adaptive Euler–Maruyama Method With Applications in Multilevel Monte Carlo | 2017-01-20 | Paper |
| Computable Error Estimates for Finite Element Approximations of Elliptic Partial Differential Equations with Rough Stochastic Data | 2017-01-04 | Paper |
| A Sparse Stochastic Collocation Technique for High-Frequency Wave Propagation with Uncertainty | 2016-12-21 | Paper |
| Comparison of Clenshaw–Curtis and Leja Quasi-Optimal Sparse Grids for the Approximation of Random PDEs | 2016-11-02 | Paper |
| Convergence of quasi-optimal stochastic Galerkin methods for a class of PDES with random coefficients | 2016-09-27 | Paper |
| Convergence of quasi-optimal sparse-grid approximation of Hilbert-space-valued functions: Application to random elliptic PDEs | 2016-09-22 | Paper |
| Multilevel ensemble Kalman filtering for spatially extended models | 2016-08-30 | Paper |
| A Multilevel Adaptive Reaction-splitting Simulation Method for Stochastic Reaction Networks | 2016-07-20 | Paper |
| Multilevel ensemble Kalman filtering | 2016-06-22 | Paper |
| An Adaptive Sparse Grid Algorithm for Elliptic PDEs with Lognormal Diffusion Coefficient | 2016-05-26 | Paper |
| Multilevel hybrid Chernoff tau-leap | 2016-05-19 | Paper |
| Deterministic mean-field ensemble Kalman filtering | 2016-05-09 | Paper |
| An efficient forward–reverse expectation-maximization algorithm for statistical inference in stochastic reaction networks | 2016-04-29 | Paper |
| Multi-index Monte Carlo: when sparsity meets sampling | 2016-04-05 | Paper |
| Convergence estimates in probability and in expectation for discrete least squares with noisy evaluations at random points | 2015-11-13 | Paper |
| A continuation multilevel Monte Carlo algorithm | 2015-06-25 | Paper |
| Discrete least squares polynomial approximation with random evaluations − application to parametric and stochastic elliptic PDEs | 2015-06-09 | Paper |
| An Error Estimate for Symplectic Euler Approximation of Optimal Control Problems | 2015-06-09 | Paper |
| Multilevel hybrid Chernoff tau-leap | 2015-05-19 | Paper |
| Multiscale Modeling of Wear Degradation in Cylinder Liners | 2015-05-19 | Paper |
| Computable error estimates of a finite difference scheme for option pricing in exponential Lévy models | 2015-01-16 | Paper |
| Analysis of discrete \(L^2\) projection on polynomial spaces with random evaluations | 2014-09-04 | Paper |
| On nonasymptotic optimal stopping criteria in Monte Carlo simulations | 2014-08-13 | Paper |
| Fast estimation of expected information gains for Bayesian experimental designs based on Laplace approximations | 2014-05-13 | Paper |
| Implementation and analysis of an adaptive multilevel Monte Carlo algorithm | 2014-03-14 | Paper |
| A Quasi-optimal Sparse Grids Procedure for Groundwater Flows | 2014-01-31 | Paper |
| Approximation of quantities of interest in stochastic PDEs by the random discrete \(L^2\) projection on polynomial spaces | 2013-09-11 | Paper |
| Monte Carlo Euler approximations of HJM term structure financial models | 2013-06-26 | Paper |
| A stochastic collocation method for the second-order wave equation with a discontinuous random speed | 2013-03-05 | Paper |
| ON THE OPTIMAL POLYNOMIAL APPROXIMATION OF STOCHASTIC PDES BY GALERKIN AND COLLOCATION METHODS | 2012-10-15 | Paper |
| Adaptive Multilevel Monte Carlo Simulation | 2012-07-10 | Paper |
| Implementation of optimal Galerkin and collocation approximations of PDEs with random coefficients | 2012-04-12 | Paper |
| Towards automatic global error control: Computable weak error expansion for the tau-leap method | 2011-10-21 | Paper |
| Stochastic Spectral Galerkin and Collocation Methods for PDEs with Random Coefficients: A Numerical Comparison | 2011-05-18 | Paper |
| Diffusion approximation of Lévy processes with a view towards finance | 2011-04-19 | Paper |
| How accurate is molecular dynamics? | 2011-04-05 | Paper |
| A Stochastic Collocation Method for Elliptic Partial Differential Equations with Random Input Data | 2010-07-13 | Paper |
| Adaptive weak approximation of reflected and stopped diffusions | 2010-05-26 | Paper |
| Analysis and implementation issues for the numerical approximation of parabolic equations with random coefficients | 2009-12-07 | Paper |
| A Sparse Grid Stochastic Collocation Method for Partial Differential Equations with Random Input Data | 2009-11-06 | Paper |
| An Anisotropic Sparse Grid Stochastic Collocation Method for Partial Differential Equations with Random Input Data | 2009-11-06 | Paper |
| Adaptive Weak Approximation of Diffusions with Jumps | 2009-08-20 | Paper |
| A Stochastic Collocation Method for Elliptic Partial Differential Equations with Random Input Data | 2008-06-19 | Paper |
| Validation challenge workshop | 2008-06-12 | Paper |
| A systematic approach to model validation based on Bayesian updates and prediction related rejection criteria | 2008-06-12 | Paper |
| Static frame challenge problem: Summary | 2008-06-12 | Paper |
| Reliability of computational science | 2007-07-20 | Paper |
| Convergence rates for an adaptive dual weighted residual finite element algorithm | 2006-09-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5484125 | 2006-08-24 | Paper |
| Solving elliptic boundary value problems with uncertain coefficients by the finite element method: the stochastic formulation | 2006-03-08 | Paper |
| Worst case scenario analysis for elliptic problems with uncertainty | 2005-12-05 | Paper |
| Adaptive Monte Carlo Algorithms for Stopped Diffusion | 2005-11-08 | Paper |
| Convergence Rates for Adaptive Weak Approximation of Stochastic Differential Equations | 2005-09-15 | Paper |
| Theory and methodology for estimation and control of errors due to modeling, approximation, and uncertainty | 2005-05-12 | Paper |
| Galerkin Finite Element Approximations of Stochastic Elliptic Partial Differential Equations | 2005-03-01 | Paper |
| Convergence rates for adaptive approximation of ordinary differential equations | 2004-07-01 | Paper |
| A variational principle for adaptive approximation of ordinary differential equations | 2004-07-01 | Paper |
| Adaptive weak approximation of stochastic differential equations | 2003-01-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2771287 | 2002-02-14 | Paper |
| Approximating Hessian matrices using Bayesian inference: a new approach for quasi-Newton methods in stochastic optimization | N/A | Paper |
| Multilevel Importance Sampling for Rare Events Associated With the McKean--Vlasov Equation | N/A | Paper |
| Double-loop randomized quasi-Monte Carlo estimator for nested integration | N/A | Paper |
| Lagrangian Relaxation for Continuous-Time Optimal Control of Coupled Hydrothermal Power Systems Including Storage Capacity and a Cascade of Hydropower Systems with Time Delays | N/A | Paper |
| Importance sampling for rare event tracking within the ensemble Kalman filtering framework | N/A | Paper |
| Estimation of uncertainties in the density driven flow in fractured porous media using MLMC | N/A | Paper |
