Monte-Carlo methods and stochastic processes. From linear to non-linear
zbMATH Open1359.65012MaRDI QIDQ2803233FDOQ2803233
Authors: Emmanuel Gobet 
Publication date: 4 May 2016
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discretizationmonographregressionstochastic partial differential equationscentral limit theoremconfidence intervalsdynamic programmingimportance samplingMetropolis-Hastings algorithmnumerical integrationOrnstein-Uhlenbeck processRobbins-Monro algorithmvariance reductionalgorithmGaussian distributionHalton sequencestochastic optimizationBrownian motionMonte Carlo methodsdiscrepancydiffusion processEuler schemeFeynman-Kac formulaheat equationlaw of large numbersdistributionsmultidimensional integralsrare eventsBrownian bridgeCauchy distributionEdgeworth expansionsEsscher transformlogarithmic Sobolev inequalitylinear congruential generatorstochastic simulationsexpectationsimulated annealing algorithmHoeffding inequalityMcKean-Vlasov equationsKoksma-Hlawka inequalitystatistical error estimateslinear stochastic processVan der Corput sequenceBerry-Essen boundsnonlinear stochastic processrandom Gibbs samplerstratification estimatorItô formulaItô process
General nonlinear regression (62J02) Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Parametric tolerance and confidence regions (62F25) Central limit and other weak theorems (60F05) Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) Combinatorial optimization (90C27) Stochastic programming (90C15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic particle methods (65C35)
Cited In (29)
- Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space
- Three ways to solve partial differential equations with neural networks — A review
- Stochastic simulation and Monte-Carlo methods.
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- Monte Carlo methods for partial differential equations. With applications to electronic design automation
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- Stochastic simulation and Monte Carlo methods. Mathematical foundations of stochastic simulation
- Multilevel Monte Carlo for computing the SCR with the standard formula and other stress tests
- An adaptive time-stepping method based on a posteriori weak error analysis for large SDE systems
- A posteriori error analysis and adaptivity for high-dimensional elliptic and parabolic boundary value problems
- Variance reduction for dependent sequences with applications to stochastic gradient MCMC
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- A transformed stochastic Euler scheme for multidimensional transmission PDE
- How many inner simulations to compute conditional expectations with least-square Monte Carlo?
- Uniform error bounds for numerical schemes applied to multiscale SDEs in a Wong-Zakai diffusion approximation regime
- Uniform strong and weak error estimates for numerical schemes applied to multiscale SDEs in a Smoluchowski-Kramers diffusion approximation regime
- A class of finite-dimensional numerically solvable McKean-Vlasov control problems
- Iterative schemes for probabilistic domain decomposition
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- Sequential convex programming for non-linear stochastic optimal control
- Weak variable step-size schemes for stochastic differential equations based on controlling conditional moments
- Stochastic Methods for Solving High-Dimensional Partial Differential Equations
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- Hybrid PDE solver for data-driven problems and modern branching
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