Hybrid PDE solver for data-driven problems and modern branching
From MaRDI portal
Publication:3133609
DOI10.1017/S0956792517000109zbMath1387.65008arXiv1705.03666OpenAlexW2964219240MaRDI QIDQ3133609
Gonçalo dos Reis, Greig Smith, Francisco Bernal
Publication date: 5 February 2018
Published in: European Journal of Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1705.03666
Monte Carlo methodsprobabilistic domain decompositionhigh-performance parallel computinghybrid nonlinear PDE solversmarked branching diffusions
Multigrid methods; domain decomposition for boundary value problems involving PDEs (65N55) Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75) Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items
An Unbiased Itô Type Stochastic Representation for Transport PDEs: A Toy Example, A flexible split-step scheme for solving McKean-Vlasov stochastic differential equations, The PDD method for solving linear, nonlinear, and fractional PDEs problems, Introduction: Big data and partial differential equations
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Highly efficient numerical algorithm based on random trees for accelerating parallel Vlasov-Poisson simulations
- A multigrid-like algorithm for probabilistic domain decomposition
- Efficient parallel solution of nonlinear parabolic partial differential equations by a probabilistic domain decomposition
- A probabilistic numerical method for fully nonlinear parabolic PDEs
- A new parallel solver suited for arbitrary semilinear parabolic partial differential equations based on generalized random trees
- Time discretization of FBSDE with polynomial growth drivers and reaction-diffusion PDEs
- Domain decomposition solution of nonlinear two-dimensional parabolic problems by random trees
- Monte Carlo solution of Cauchy problem for a nonlinear parabolic equation
- Advanced financial modelling.
- Navier-Stokes equations and forward-backward SDEs on the group of diffeomorphisms of a torus
- Forward-backward stochastic differential equations and their applications
- Competing species equations with diffusion, large interactions, and jumping nonlinearities
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- A semilinear Black and Scholes partial differential equation for valuing American options
- Stopped diffusion processes: boundary corrections and overshoot
- Radially symmetric growth of nonnecrotic tumors
- Domain decomposition methods in science and engineering XXII. Proceedings of the 22nd international conference on domain decomposition methods, Lugano, Switzerland, September 16--20, 2013
- A Monte Carlo method for solving the one-dimensional telegraph equations with boundary conditions
- On the branching process for Brownian particles with an absorbing boundary
- Parallel stochastic methods for PDE based grid generation
- A numerical algorithm for a class of BSDEs via the branching process
- Probabilistically induced domain decomposition methods for elliptic boundary-value problems
- Stochastic Domain Decomposition for Time Dependent Adaptive Mesh Generation
- Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
- Functional Integration and Partial Differential Equations. (AM-109)
- Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
- Application of brownian motion to the equation of kolmogorov-petrovskii-piskunov
- Backward Stochastic Differential Equations in Finance
- Numerical Approximation for Functionals of Reflecting Diffusion Processes
- Euler schemes and half-space approximation for the simulation of diffusion in a domain
- Solving backward stochastic differential equations using the cubature method: Application to nonlinear pricing
- QUADRATIC FBSDE WITH GENERALIZED BURGERS' TYPE NONLINEARITIES, PERTURBATIONS AND LARGE DEVIATIONS
- A Stochastic Algorithm Based on Fast Marching for Automatic Capacitance Extraction in Non-Manhattan Geometries
- Poisson–Vlasov in a strong magnetic field: A stochastic solution approach
- Unbiased Monte Carlo estimate of stochastic differential equations expectations
- A Comparison of Higher-Order Weak Numerical Schemes for Stopped Stochastic Differential Equations
- Mean Exit Times and the Multilevel Monte Carlo Method
- Domain Decomposition Solution of Elliptic Boundary-Value Problems via Monte Carlo and Quasi-Monte Carlo Methods
- Monte Carlo methods for linear and non-linear Poisson-Boltzmann equation
