Stochastic Methods for Solving High-Dimensional Partial Differential Equations
From MaRDI portal
Publication:5117925
DOI10.1007/978-3-030-43465-6_6MaRDI QIDQ5117925
Marie Billaud Friess, Anthony Nouy, Arthur Macherey, Clémentine Prieur
Publication date: 26 August 2020
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1905.05423
65C05: Monte Carlo methods
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Tensor-Train Decomposition
- High-dimensional adaptive sparse polynomial interpolation and applications to parametric PDEs
- Tensor networks and hierarchical tensors for the solution of high-dimensional partial differential equations
- Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
- Stopped diffusion processes: boundary corrections and overshoot
- Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
- A general multipurpose interpolation procedure: The magic points
- Sparse adaptive Taylor approximation algorithms for parametric and stochastic elliptic PDEs
- A literature survey of low-rank tensor approximation techniques
- Multilevel Monte Carlo Methods
- A spectral Monte Carlo method for the Poisson equation
- Numerical tensor calculus
- Efficient Spectral Sparse Grid Methods and Applications to High-Dimensional Elliptic Problems
- Approximation of high-dimensional parametric PDEs
- Sparse grids
- Sequential Control Variates for Functionals of Markov Processes